Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis

In this study, an attempt is made to identify commonly considered safe-haven assets through the Fractal Market Hypothesis (FMH) which assumes that the market is made up of heterogeneous agents and that there will be a dominance of the short-term investment horizon over the long-term investment horizon during a crisis period. The study considers the COVID-19 crisis as a critical period and examines the fractal behavior of the most commonly considered safe-haven assets (Gold, Bitcoin, Swiss franc and US dollar) for the sample period of 2015-2022 by using Continuous Wavelet Transform (CWT) methodology. The findings indicate that potential safe-haven assets can be identified through FMH. It also examines the potential safe-haven asset's properties in more detail by employing a new methodology; the Wavelet Quantile Correlation (WQC) method. The study found that Gold is a safe haven only for the short run, whereas Bitcoin is a good diversifier. From the currencies, the Swiss franc is also not a good safe haven both in the short run and long run, and the US dollar is a safe haven for the long run.