The relationship between global risk aversion and returns from safe-haven assets

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Ahmed Bossman, University of Cape Coast Ghana
Sun Yong Choi, Gachon University
Tamara Teplova, HSE University

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

1-1-2023

Abstract

We investigate the relationship between global risk aversion and safe-haven assets using the causality-in-quantiles test and the quantile-on-quantile regression method. Our empirical results show the predictability of global risk aversion on the returns of safe-haven assets. Furthermore, we find that several assets have consistent safe haven attributes regardless of the level of global risk aversion, while gold and Bitcoin cannot be considered consistent safe havens. Based on these findings, non-cash flow-induced shocks are not only an important predictor of asset returns but also their relevance cuts across general financial markets.

DOI Link

10.1016/j.frl.2022.103444

ISSN

1544-6123

Publisher

Elsevier BV

Volume

51

Disciplines

Business

Keywords

Causality-in-quantiles, Global risk aversion, Quantile-on-quantile regression, Safe-haven

Scopus ID

85140803723

Recommended Citation

Umar, Zaghum; Bossman, Ahmed; Choi, Sun Yong; and Teplova, Tamara, "The relationship between global risk aversion and returns from safe-haven assets" (2023). All Works. 5438.
https://zuscholars.zu.ac.ae/works/5438

Indexed in Scopus

yes

Open Access

no