Alternative investments during turbulent times – a comparison of dynamic relationships

Karolina Siemaszkiewicz

doi:10.5604/01.3001.0016.2377

Karolina Siemaszkiewicz Poznań University of Economics and Business, Institute of Informatics and Quantitative Economics, Department of Applied Mathematics, al. Niepodległości 10, 61-875 Poznań ORCID:https://orcid.org/0000-0001-8244-2854 Przegląd Statystyczny. Statistical Review, vol. 69, 2022, 3, pages: 23-43 Published online: 28 February 2023 DOI 10.5604/01.3001.0016.2377 Citation: Siemaszkiewicz, K. (2022). Alternative investments during turbulent times – a comparison of dynamic relationships. Przegląd Statystyczny. Statistical Review, 69(3), 23–43. https://doi.org/10.5604/01.3001.0016.2377.

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ABSTRACT

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.

KEYWORDS

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

JEL

C6, C10, C32, C58, G11

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