A wavelet-based time-frequency dependency and safe haven attributes of gold: evidence from the Russia-Ukraine war

Abstract

In the context of the Russia-Ukraine war, this study examines the dependence structure and evaluates the safe haven attributes of gold for equity in the time-frequency domain. We use the wavelet coherence analysis for the leading stock markets and gold prices. Empirical results indicate that gold can be regarded as a safe haven for France, Italy and German stock markets only during the early phase of the war as the market regained quickly from the downturn. Further, in the long-run, a few evidences of positive connectedness demonstrate the diversifier property of gold against stocks. These contributions may be useful for portfolio investors that are desirous of managing and readjusting their portfolio with gold and equity in times of market turmoil.