Testing Safe Haven Property of Bitcoin and Gold during Covid-19 : Evidence from Multivariate GARCH analysis

Abstract

We test the safe-haven property of Gold and Bitcoin against equity markets (NSE50, DJIA, SSE, and CAC40) in the backdrop of Covid-19. We employ two multivariate volatility models, namely DCC and cDCC GARCH for analytical purposes. We find both Gold and Bitcoin to be negligibly correlated with equity returns most of the time. However, we observe a positive correlation during the initial phase of Covid-19. The results suggest that both Gold and Bitcoin exhibit the safe-haven property overall. However, during Covid-19, the safe-haven property of both Bitcoin and Gold is found to be partially compromised. We find Gold to exhibit relatively better safe-haven properties.