Karolina Siemaszkiewicz https://orcid.org/0000-0001-8244-2854

© Karolina Siemaszkiewicz. Article available under the CC BY-SA 4.0 licence


(English) PDF


The COVID-19 pandemic, like the Russian aggression against Ukraine, had a significant impact on many financial markets and asset prices. The latter additionally led to large fluctuations on financial markets. In our paper, we try to compare the performance of ‘safe haven’ assets during turbulent times, such as the recent global financial crisis, the eurozone debt crisis, the COVID-19 pandemic and the Russian aggression against Ukraine. We investigate the dynamic relationship between indices from several European countries (Czech Republic, France, Germany, Great Britain, Poland, Slovakia and Spain), and popular financial instruments (gold, silver, Brent and WTI crude oil, US dollar, Swiss franc and Bitcoin). The study further estimates the parameters of DCC or CCC models to compare dynamic relationships between the above-mentioned stock markets and financial instruments. The results demonstrate that in most cases, the US dollar and Swiss franc were able to protect investors from stock market losses during turbulent times. In addition, investors from France, Poland, the Czech Republic and Slovakia saw gold as a ‘safe haven’ asset throughout all the abovementioned crises. Our findings are in line with other literature which points out that ‘safe haven’ instruments can change over time and across countries. In the literature, we can find research performed for the USA, China, Canada, and Great Britain, but there is no such research for Poland, France, the Czech Republic or Slovakia. The purpose of this paper is to try to fill this research gap.


safe haven instruments, gold, silver, Bitcoin, dynamic correlation, global financial crisis, eurozone debt crisis, COVID-19 pandemic


C6, C10, C32, C58, G11


Akhtaruzzaman, M., Boubaker, S., Lucey, B. M., & Sensoy, A. (2021). Is gold a hedge or a safehaven asset in the COVID-19 crisis?. Economic Modelling, 102, 1–26. https://doi.org/10.1016/j.econmod.2021.105588.

Baur, D. G., & Glover, K. J. (2012). The Destruction of a Safe Haven Asset?. Applied Finance Letters, 1(1), 8–15. https://doi.org/10.24135/afl.v1i1.5.

Baur, D. G., & Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x.

Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008.

Beckmann, J., Berger, T., & Czudaj, R. (2015). Does gold act as a hedge or a safe-haven for stocks? A smooth transition approach. Economic Modelling, 48, 16–24. https://doi.org/10.1016/j.econmod.2014.10.044.

Będowska-Sójka, B., & Kliber, A. (2021). Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether. North American Journal of Economics and Finance, 56, 1–12. https://doi.org/10.1016/j.najef.2021.101390.

Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized arch model. Review of Economics and Statistics, 72(3), 498–505. https://doi.org/10.2307/2109358.

Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. Quarterly Review of Economics and Finance, 77, 156–164. https://doi.org/10.1016/j.qref.2020.03.004.

Bredin, D., Conlon, T., & Poti, V. (2017). The price of shelter – Downside risk reduction with precious metals. International Review Financial Analysis, 49, 48–58. https://doi.org/10.1016/j.irfa.2016.12.005.

Council on Foreign Relations. (n.d.). Greece’s Debt Crisis. Retrieved July 15, 2022, from https://www.cfr.org/timeline/greeces-debt-crisis-timeline.

Dee, J., Li, L., & Zheng, Z. (2013). Is gold a hedge or a safe haven? Evidence from inflation and stock market. International Journal of Development and Sustainability, 2(1), 12–27. https://isdsnet.com/ijds-v2n1-2.pdf.

Engle, R. F. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487.

European Stability Mechanism. (n.d.). Before the ESM. Retrieved July 15, 2022, from https://www.esm.europa.eu/about-us/efsf/before-the-esm.

Fiszeder, P., & Małecka, M. (2022). Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies. Equilibrium. Quarterly Journal of Economics and Economic Policy, 17(4), 939–967. https://doi.org/10.24136/eq.2022.032.

Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x.

Grisse, C., & Nitschka, T. (2015). On financial risk and the safe haven characteristics of Swiss Franc exchange rates. Journal of Empirical Finance, 32, 153–164. https://doi.org/10.1016/j.jempfin.2015.03.006.

Hood, M., & Malik, F. (2013). Is gold the best hedge and a safe haven under changing stock market volatility?. Review of Financial Economics, 22(2), 47–52. https://doi.org/10.1016/j.rfe.2013 .03.001.

Jensen, A., & Lange, T. (2007, November 30). Addressing the IGARCH puzzle. https://citeseerx.ist .psu.edu/document?repid=rep1&type=pdf&doi=cb0ff3ebe7ac4f1907b477bd6593dcb7cd013cab.

Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review Financial Analysis, 71, 1–10. https://doi.org/10.1016/j.irfa .2020.101526.

Kaul, A., & Sapp, S. (2006). Y2K fears and safe haven trading of the U.S. dollar. Journal of International Money and Finance, 25(5), 760–779. https://doi.org/10.1016/j.jimonfin.2006.04.003.

Klein, T. (2017). Dynamic correlation of precious metals and flight-to-quality in developed markets. Financial Research Letters, 23, 283–290. https://doi.org/10.1016/j.frl.2017.05.002.

Lahiani, A., Mefteh-Wali, S., & Vasbieva, D. G. (2021). The safe-haven property of precious metal commodities in the COVID-19 era. Resources Policy, 74, 1–8. https://doi.org/10.1016/j.resourpol.2021.102340.

Lucey, B. M., & Li, S. (2015). What precious metals act as safe havens, and when? Some US evidence. Applied Economics Letters, 22(1), 35–45. https://doi.org/10.1080/13504851.2014.920471.

Łęt, B., & Siemaszkiewicz, K. (2020). Looking for Alternatives in Times of Market Stress: A Tail Dependence between the European Stock Markets and Bitcoin, Gold and Fine Wine Market. Finance a úvěr. Czech Journal of Economics and Finance, 70(5), 407–430. http://dx.doi.org/10.32065/CJEF.2020.05.02.

Morgan, J. P. (2022). The Russia-Ukraine Crisis: What Does It Mean For Markets?. Retrieved July 15, 2022, from https://www.jpmorgan.com/insights/research/russia-ukraine-crisis-market-impact.

Nakatani, T., & Teräsvirta, T. (2008). Appendix to “Testing for volatility interactions in the constant conditional correlation GARCH model”. https://swopec.hhs.se/hastef/papers/hastef0649.appendix.pdf.

Ranaldo, A., & Söderlind, P. (2010). Safe Haven Currencies. Review of Finance, 14(3), 385–407. https://doi.org/10.1093/rof/rfq007.

Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe haven investment than gold and commodities?. International Review Financial Analysis, 63, 322–330. https://doi.org/10.1016/j.irfa.2019.01.002.

Shahzad, S. J. H., Raza, N., Roubaud, D., Hernandez, J. A., & Bekiros, S. (2019). Gold as safe haven for G-7 stocks and bonds: a revisit. Journal of Quantitative Economics, 17, 885–912. https://doi.org/10.1007/s40953-019-00163-1.

Wu, F., Zhao, W.-L., Ji, Q., & Zhang, D. (2020). Dependency, centrality and dynamic networks for international commodity futures prices. International Review of Economics and Finance, 67, 118–132. https://doi.org/10.1016/j.iref.2020.01.004.

Xia, T., Ji, Q., Zhang, D., & Han, J. (2019). Asymmetric and extreme influence of energy price changes on renewable energy stock performance. Journal of Cleaner Production, 241. https://doi.org/10.1016/j.jclepro.2019.118338.

Back to top
© 2019–2022 Copyright by Statistics Poland, some rights reserved. Creative Commons Attribution-ShareAlike 4.0 International Public License (CC BY-SA 4.0) Creative Commons — Attribution-ShareAlike 4.0 International — CC BY-SA 4.0