Vai trò tài sản trú ẩn an toàn của vàng, bitcoin, USD qua các giai đoạn khủng hoảng: Case study tại các quốc gia có lượng dự trữ vàng lớn nhất thế giới
Ngày xuất bản:
25/04/2026
Ngày xuất bản Online:
25/04/2026
Chuyên mục:
Tài chính, Ngân hàng, Kế toán, Kiểm toán
Nội dung chính của bài viết
Tóm tắt
Bài viết sử dụng số liệu tỷ suất sinh lợi theo ngày của vàng, Bitcoin, USD và 10 chỉ số chứng khoán đại diện cho 10 quốc gia sở hữu lượng vàng dự trữ hàng đầu trên thế giới trong giai đoạn 2013 đến 2024 để xem xét vai trò tài sản trú ẩn an toàn của các tài sản này. Bằng phương pháp GJR-GARCH, nghiên cứu đã cho thấy, vai trò tài sản trú ẩn an toàn của các loại tài sản tùy thuộc vào từng giai đoạn khủng hoảng. Trong đại dịch COVID-19 và xung đột Nga – Ukraine, USD thể hiện được vai trò là tài sản trú ẩn an toàn tại các quốc gia ngoại trừ Nhật Bản, quốc gia đang nỗ lực điều chỉnh để thích ứng với việc đồng nội tệ bị giảm giá nghiêm trọng. Trong khi đó, vàng và Bitcoin đều không thể hiện được vai trò là tài sản trú ẩn an toàn với hầu hết các chỉ số chứng khoán ngoại trừ Nga do những chính sách nhằm đối phó với các lệnh trừng phạt của Mỹ và châu Âu. Như vậy, với các nhà đầu tư tại Nga có thể tăng tỷ lệ đầu tư vào vàng và Bitcoin, giảm tỷ lệ đầu tư vào USD, các nhà đầu tư tại Nhật Bản cần thận trọng khi tích trữ USD.
Abstract
This paper employs daily return data rates of gold, Bitcoin, USD, and 10 stock indices representing the 10 countries with the world's top gold reserves from 2013 to 2024 to examine the safe-haven role of assets. Using the GJR-GARCH method, research has shown that the role of assets as a safe haven evolves during the crisis. Throughout the COVID-19 pandemic and the Russia-Ukraine conflict, the USD has demonstrated its role as a safe-haven asset except Japan, a country that is struggling to adapt to the severe devaluation of its domestic currency. Meanwhile, gold and Bitcoin have failed to demonstrate their role as safe-haven assets with most stock indexes except Russia due to policies to deal with the US and the European Union (EU). Thus, investors in Russia can increase their investment rate in gold and Bitcoin and reduce their investment rate in USD. Investors in Japan should not invest too much in USD.
Từ khóa
Đại dịch COVID-19; Tài sản trú ẩn an toàn; Xung đột Nga – Ukraine
Chi tiết bài viết
Lĩnh vực kinh tế (JEL Codes)
C58 - Financial Econometrics - Econometric Modeling, G01 - Financial Crises - General, G11 - Portfolio Choice • Investment Decisions - General Financial Markets
Tài liệu tham khảo
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Ali, S., Bouri, E., Czudaj, R. L., & Shahzad, S. J. H. (2020). Revisiting the valuable roles of commodities for international stock markets. Resources Policy, 66. https://doi.org/10.1016/j.resourpol.2020.101603
Al-Nassar, N. S., Boubaker, S., Chaibi, A., & Makram, B. (2023). In search of hedges and safe havens during the COVID─19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty. The Quarterly Review of Economics and Finance, 90, 318–332. https://doi.org/10.1016/j.qref.2022.10.010
Ameur, H. B., Jamaani, F., & Alfoul, M. N. A. (2024). Examining the safe-haven and hedge capabilities of gold and cryptocurrencies: A GARCH and regression quantiles approach in geopolitical and market extremes. Heliyon, 10(22). https://doi.org/10.1016/j.heliyon.2024.e40400
Arslanalp, S., Eichengreen, B., & Simpson-Bell, C. (2023). Gold as international reserves: A barbarous relic no more?. Journal of International Economics, 145. https://doi.org/10.1016/j.jinteco.2023.103822
Aysan, A. F., Demir, E., Gozgor, G., & Lau, C. K. M. (2019). Effects of the geopolitical risks on Bitcoin returns and volatility. Research in International Business and Finance, 47, 511–518. https://doi.org/10.1016/j.ribaf.2018.09.011
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Banerjee, A. K., & Pradhan, H. (2024). Did precious metals serve as hedge and safe-haven alternatives to equity during the COVID-19 pandemic: New insights using a copula-based approach. Journal of Emerging Market Finance, 23(4), 399–423. https://doi.org/10.1177/09726527241251515
Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008
Będowska-Sójka, B., & Kliber, A. (2021). Is there one safe-haven for various turbulences? The evidence from gold, bitcoin and ether. The North American Journal of Economics and Finance, 56. https://doi.org/10.1016/j.najef.2021.101390
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192–198. https://doi.org/10.1016/j.frl.2016.09.025
Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156–164. https://doi.org/10.1016/j.qref.2020.03.004
Burdekin, R. C., & Tao, R. (2021). The golden hedge: From global financial crisis to global pandemic. Economic Modelling, 95, 170–180. https://doi.org/10.1016/j.econmod.2020.12.009
Cheema, M. A., Faff, R., & Szulczyk, K. R. (2022). The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?. International Review of Financial Analysis, 83. https://doi.org/10.1016/j.irfa.2022.102316
Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202–211. https://doi.org/10.1016/j.irfa.2012.12.001
Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35. https://doi.org/10.1016/j.frl.2020.101554
Cui, M., Wong, W.-K., Wisetsri, W., Mabrouk, F., Muda, I., Li, Z., & Hassan, M. (2023). Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data. Resources Policy, 80. https://doi.org/10.1016/j.resourpol.2022.103133
d’Esposito, F. (2021). COVID-19 and the safe haven role of US dollar: A threshold regression analysis [Master' thesis, Universidade Católica Portuguesa]. https://repositorio.ucp.pt/handle/10400.14/35812
Feng, J., Yuan, Y., & Jiang, M. (2024). Are stablecoins better safe havens or hedges against global stock markets than other assets? Comparative analysis during the COVID-19 pandemic. International Review of Economics & Finance, 92, 275–301. https://doi.org/10.1016/j.iref.2024.02.014
Ghabri, Y., Huynh, L. D. T., & Nasir, M. A. (2024). Volatility spillovers, hedging and safe‐havens under pandemics: All that glitters is not gold!. International Journal of Finance & Economics, 29(2), 1318-1344. https://doi.org/10.1002/ijfe.2738
Gençyürek, A. G., & Ekinci, R. (2023). Safe-haven and hedging roles of precious metals for BRICS and Turkey. Borsa Istanbul Review, 23(2), 297–321. https://doi.org/10.1016/j.bir.2022.10.013
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
Gurdgiev, C., & Petrovskiy, A. (2024). Hedging and safe haven assets dynamics in developed and developing markets: Are different markets that much different? International Review of Financial Analysis, 92. https://doi.org/10.1016/j.irfa.2023.103059
Hasan, M. B., Hassan, M. K., Rashid, M. M., & Alhenawi, Y. (2021). Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic? Global Finance Journal, 50. https://doi.org/10.1016/j.gfj.2021.100668
Hasan, Md. B., Hassan, M. K., Karim, Z. A., & Rashid, Md. M. (2022). Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty. Finance Research Letters, 46. https://doi.org/10.1016/j.frl.2021.102272
Hossfeld, O., & MacDonald, R. (2015). Carry funding and safe haven currencies: A threshold regression approach. Journal of International Money and Finance, 59, 185–202. https://doi.org/10.1016/j.jimonfin.2015.07.005
Hsu, S.-H., Cheng, P.-K., & Yang, Y. (2024). Diversification, hedging, and safe-haven characteristics of cryptocurrencies: A structural change approach. International Review of Financial Analysis, 93. https://doi.org/10.1016/j.irfa.2024.103211
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Trích dẫn bài báo
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