Flickering safe havens: Time-varying properties in global equity markets during COVID-19 and the Russia–Ukraine war
Kwame Poku Frimpong
Department of Finance, School of Business, University of Cape Coast, Ghana.
https://orcid.org/0009-0009-8385-5453
Siaw Frimpong
Department of Finance, School of Business, University of Cape Coast, Ghana.
https://orcid.org/0000-0003-4161-321X
DOI: https://doi.org/10.20448/economy.v13i2.9556
Keywords: Financial market connectedness, Global equity markets, Gold, Safe-haven assets, TVP-VAR connectedness, Wavelet quantile correlation.
Abstract
Prior research on safe-haven assets has addressed crisis-type and horizon dependence only in a fragmented fashion. This study examines whether gold, U.S. Treasuries, the Swiss franc, and Bitcoin exhibit safe-haven properties conditional on crisis type and investment horizon. Using daily data from January 2015 to November 2025, we assess safe-haven effectiveness for four equity markets (S&P 500, FTSE 100, MSCI Emerging Markets, and Shanghai Composite) across two distinct crises: COVID-19, a global demand shock, and the Russia–Ukraine war, marked by supply-side and inflationary pressures. The framework combines Wavelet Quantile Correlation with Time-Varying Parameter VAR connectedness analysis, with structural breaks identified via the Bai–Perron procedure. Results show strongly regime-dependent behavior. During COVID-19, gold offered limited protection, benefiting only China at specific horizons, while Treasuries hedged the UK but not the U.S. The Swiss franc was the most stable hedge, particularly for U.S. and emerging markets, while Bitcoin’s positive co-movement with equities disqualified it as a safe haven. During the Russia–Ukraine war, gold and Treasuries weakened further amid inflationary pressures, whereas the Swiss franc remained resilient, shifting from net receiver to net transmitter of shocks. Safe-haven status is thus crisis-specific, with implications for portfolio allocation and risk management.