Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/250549 
Year of Publication: 
2021
Series/Report no.: 
IZA Discussion Papers No. 14888
Publisher: 
Institute of Labor Economics (IZA), Bonn
Abstract: 
We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both hedge and safe-haven properties of gold, Bitcoin, and crude oil against G-7 stock markets by using daily return and volatility data from September 2013 to October 2021. Our empirical findings show that the hedging effectiveness of gold, Bitcoin, and crude oil varies overtime before the Covid-19 pandemic. Furthermore, according to our analysis results, only Bitcoin acts as a safe haven against G-7 stock markets during most of the Covid-19 pandemic time.
Subjects: 
sharpe ratio
safe haven
hedge
spillover effect
G-7 countries
JEL: 
C58
G10
Document Type: 
Working Paper

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