Safe haven properties of green, Islamic, and crypto assets and investor's proclivity towards treasury and gold

Abstract

Turbulent times significantly exacerbate the search for a safe haven asset, inspired by investors' loss aversion. The same happened during the Covid-19 crisis when recurring losses forced investors to alter their investment strategies, and the search for alternative investment classes picked momentum. This study evaluates the safe haven properties of Green financial products, Islamic assets, and Cryptocurrencies, all of which gained prominence in financial markets after the global financial crisis, coupled with the long-acknowledged safe haven assets like Gold, Silver, and Treasuries. We employ a quantile VAR framework to examine the connectedness between the assets' markets during stressed, normal, and euphoric periods. Our results show that both Green and Islamic Bonds only act as a safe haven during the normal market condition; however, US Treasury, cryptocurrencies, and gold emerged as safe-haven assets under bearish or extreme volatility periods. While proclivity towards US Treasury and gold supports the phenomenon of flight-to-safety, we find cryptos have also become investors' preference amid bearish trends to satiate their risk appetite finding their way into the list of speculative assets, if not the true safe havens for investors.