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HEC-Ecole de gestion de l'Université de Liège

What characterizes a "Safe Haven Asset" and how does it perform across market cycles?

Bivort, Corentin ULiège
Promotor(s) : Artige, Lionel ULiège
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink :
Title : What characterizes a "Safe Haven Asset" and how does it perform across market cycles?
Translated title : [fr] Qu'est-ce qui caractérise une "valeur refuge" et comment cet actif se comporte-t-il à travers les cycles?
Author : Bivort, Corentin ULiège
Date of defense  : 4-Sep-2023/8-Sep-2023
Advisor(s) : Artige, Lionel ULiège
Committee's member(s) : Clerc, Pierrick ULiège
Mzouti, Hamed Zakaria ULiège
Language : English
Number of pages : 83
Keywords : [en] safe‐haven asset
[en] financial instability
[en] volatility
[en] crisis
[en] investment
[en] correlation
[en] financial market
Discipline(s) : Business & economic sciences > Finance
Business & economic sciences > General economics & history of economic thought
Business & economic sciences > Macroeconomics & monetary economics
Business & economic sciences > International economics
Target public : Researchers
Professionals of domain
General public
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences économiques, orientation générale, à finalité spécialisée en macroeconomics and finance
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège


[en] This paper undertakes a comprehensive review of the concept of safe haven assets, assessing
and explaining the characteristics of historically significant assets, including new additions such
as cryptocurrencies and sustainable financial investments within different market cycles. The re‐
search is motivated by recurring episodes of global financial instability and volatility, from the
2007 subprime crisis to the more recent geopolitical conflict between Russia and Ukraine.
Given the succession of crises and the resulting uncertainty, investors are increasingly looking for safe‐haven assets capable of retaining or increasing their value in the event of market volatility, protecting their portfolios from potential losses. This type of asset is characterized by multiple properties such as a negative correlation with the general financial market trend during turbulent times, a constant low volatility across time and a high level of liquidity. Our study analyzes the performance of a range of potential safe‐haven assets, including traditional options such as gold, long‐term government bonds and certain currencies, as well as newer candidates such as cryptocurrencies and green bonds. Using a dataset of nine potential safe‐haven assets and four global equity indices, we perform a quantitative analysis based on volatility statistics and the Dynamic Conditional Correlation of Generalized AutoRegressive Conditional Heteroskedasticity (DCC‐GARCH) model.
Our findings indicate mixed performance across assets. Traditional assets like US Treasury bills
and the USD retain their safe‐haven status, while gold’s safe‐haven property appears less certain. Newer asset classes, particularly Green bonds and stablecoins like the USDT, emerge as promising candidates for safe‐haven status, indicating the potential for sustainability and digital currencies to offer refuge during economic volatility. However, the study underscores the necessity for a dynamic understanding of the concept and points out that the safe‐haven status of an asset could change depending on a specific crisis and economic context.



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  • Bivort, Corentin ULiège Université de Liège > Master sc. éco., or. gén., à fin.


Committee's member(s)

  • Clerc, Pierrick ULiège Université de Liège - ULiège > HEC Liège : UER > UER Economie : Macroéconomie et pensée économique
    ORBi View his publications on ORBi
  • Mzouti, Hamed Zakaria ULiège Université de Liège - ULiège > HEC Liège : UER > UER Economie : Macroéconomie et pensée économique
    ORBi View his publications on ORBi
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  • Total number of downloads 185

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