Flickering Safe Havens: Time-Varying Properties in Global Equity Markets During COVID-19 and the Russia-Ukraine War (Economy)

Summary

• The study uses daily data from January 2015 to November 2025 to test gold, U.S. Treasuries, the Swiss franc and Bitcoin as safe havens for four equity markets.p.1
• Bitcoin's positive co-movement with equities disqualified it as a safe haven, while the Swiss franc was the most stable hedge during COVID-19.p.1
• During the Russia-Ukraine war, Treasuries retained limited effectiveness only in the UK, at short (2–4 days) and long-term (128–256 days) horizons.p.21
• In the COVID-19 period the S&P 500 sent 67.09% of shocks to others while receiving 46.11%.p.28
• In the Russia-Ukraine period the Swiss franc became the largest transmitter of shocks, sending 51.07% while receiving 40.82%.p.30
• Gold does not qualify as a broad safe haven in either crisis for U.S., UK or emerging market equities.p.60

Key insights

1. An asset is classed as a safe haven if its wavelet quantile correlation is negative at quantiles in the 5th to 30th percentile range.p.15
2. The Shanghai Composite, Swiss franc and gold were the largest net receivers during COVID-19, at -9.08, -9.75 and -6.34.p.28
3. Bitcoin's positive equity co-movement and lack of safe-haven properties held across both crises and all markets.p.33
4. U.S. Treasuries qualify as a safe haven only for the UK equity market.p.60
5. The Swiss franc's network role flipped from net receiver during COVID-19 to primary net transmitter during Russia-Ukraine.p.60