A search for a safe haven inspired by investors' loss aversion significantly exacerbates in times of turbulence. The same happened during the crisis of Covid-19 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, 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 finding their way into the list of safe havens for investors. • We evaluate the safe haven properties of Green, Islamic, and Crypto assets vis a vis gold and treasury securities. • Quantile VAR framework is used to examine the connectedness during the stressed, normal, and euphoric time periods. • Bonds in general, including Green and Islamic, only act as a safe haven during normal market conditions. • US Treasury, cryptocurrencies, and Gold-Silver emerged as safe-haven assets under bearish or extreme volatility periods. • In addition to US Treasury and Gold-Silver, the flight-to-safety, is observed towards cryptos as well.
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