Financial Markets and Portfolio Management

, Volume 30, Issue 4, pp 453–482 | Cite as

How safe are the safe haven assets?

  • Kateryna Anatoliyevna Kopyl
  • John Byong-Tek LeeEmail author


The aim of this paper is to examine which of the assets commonly believed to be safe havens do, in fact, protect investors during periods of severe financial instability. Using a broad dataset of 32 assets over the period of 1964–2014, we examine the relationship of these assets with the US equity market during financial crises to determine which of them are safe havens for US investors, hedges, or speculations. We find that the US Treasuries and Japanese yen are the strongest safe haven investments in months characterized by large declines in market value or excessive volatility. We also document that the recent global financial crisis had significantly negative ramifications on the safe haven properties of many of these assets. Our out-of-sample analyses show that while, in general, predictive market exposures are negatively correlated with asset returns in strong market downturns, those of even the strongest safe haven assets are often statistically insignificant.


Safe haven assets Global financial crisis Return correlation 

JEL Classification

G12 G15 



The initial version of the paper was Kopyl’s Honours dissertation at the University of Auckland, which was completed prior to her employment by the Reserve Bank of Australia. The views expressed in this paper are solely those of the authors and not necessarily those of the Reserve Bank of Australia. This paper benefited substantially from the comments and suggestions of the anonymous referee.


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Copyright information

© Swiss Society for Financial Market Research 2016

Authors and Affiliations

  • Kateryna Anatoliyevna Kopyl
    • 1
  • John Byong-Tek Lee
    • 2
    Email author
  1. 1.Reserve Bank of AustraliaSydneyAustralia
  2. 2.University of AucklandAucklandNew Zealand

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