Testing safe haven assets for investors in Turkey during COVID-19

When a crisis occurs, investors shift their investments from risky assets to risk-free assets in order to protect themselves from the negative effects of the crisis and look for ways to minimize negative effects. Generally, diversification and hedging strategies that investors have made in their portfolios fail to hedge risk during crises. Investors invest in some financial assets in order to be minimally affected by crisis periods and sometimes to turn crisis periods into opportunities. These assets are called safe haven assets in the finance literature. These assets are defined as assets that are not related or negatively related to another asset or portfolio during crisis periods. This means that while losses are experienced in any asset or portfolio, these assets either do not experience any losses or gain value. The aim of this study is to examine whether the assets known as safe haven assets during the crisis fulfill these qualifications in Turkey during the Covid-19 epidemic in terms of stock investors. In this study, gold, silver, US dollar, euro, bitcoin, ethereum, government bond and participation index, which are the most accepted safe haven assets in the literature, are selected. 5-year government bonds representing government bond and Dow Jones Islamic Markets Turkey index representing participation index were used in the study. BIST100 index is selected as a benchmark index to represent the stock market. In the study, the daily closing prices of the assets and the index between 02.01.2019-31.12.2022 were used. According to the results obtained, when the Covid-19 period is taken into account, no asset has shown the feature of a safe haven against the stock market. However, during the periods when the BIST100 index depreciated by 5%, ethereum, silver and government bond exhibited a strong level, the dollar and euro showed a weak level of safe haven. When BIST100 depreciated by 2.5%, bitcoin, gold and DJIMTR exhibited safe haven asset feature at a weak level. Gold and government bond exhibited a strong level of safety in 1% depreciation, while bitcoin, ethereum, silver, dollar and euro showed a weak level of safe haven properties.