A comparative analysis of gold and Bitcoin as safe haven assets during financial crises
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- This thesis examines whether Bitcoin can be classified as a safe-haven asset alongside gold during periods of financial, geopolitical, and institutional crisis. Drawing on daily data from 2019 to 2024, the study focuses on three major systemic shocks: the COVID-19 pandemic, the Russia–Ukraine war, and the collapse of Silicon Valley Bank. To assess both return dynamics and volatility behavior, the analysis employs a multi-model econometric approach, including Autoregressive (AR), Autoregressive Distributed Lag (ARDL), and ARDL-GARCH specifications, across short (10-day), medium (30-day), and longer (60-day) time horizons. The results provide robust evidence that gold functions as a consistent and reliable safe haven, showing statistically significant positive responses to crises across all models and timeframes, and maintaining strong links to macro-financial variables such as interest rates, oil prices, and market volatility (VIX). In contrast, Bitcoin demonstrates a highly conditional and inconsistent response to crises. Significant effects are observed only during specific events—particularly the banking crisis—and only when using models that capture conditional volatility. Bitcoin’s behavior is largely decoupled from traditional macroeconomic fundamentals, reflecting its speculative and sentiment-driven profile. Overall, the findings confirm that while gold remains a structurally stable safe-haven asset, Bitcoin’s refuge potential is limited, context-dependent, and not yet robust enough to position it as a systematic alternative. The study highlights the importance of crisis type, methodological framework, and macroeconomic context in evaluating the safe-haven characteristics of traditional and digital assets.