This study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the COVID-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the COVID-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.

这项研究评估了在 COVID-19 大流行危机期间黄金、原油和加密货币作为传统、可持续和伊斯兰投资者的避风港的作用。本研究在双变量和多变量环境中使用小波相干分析和溢出指数方法，研究了这些资产在不同投资期限内的相关性。研究结果表明，在 COVID-19 爆发之前，黄金、石油和比特币在几乎所有考虑的投资范围内与每个股票指数都表现出较低的一致性。相反，随着疫情的爆发，金融资产的回报溢出效应更加强烈，各个股票指数与对冲资产之间存在显着的成对回报相关性。因此，黄金、石油和比特币不具备避险特性。然而，通过将随时间变化的联动分解为不同的投资期限，我们发现资产之间的总关联性和成对关联性主要由较高频段（最多 4 天）驱动。这表明投资者在较长时期内拥有黄金、石油和比特币的多元化机会。对于不同类型的股权投资者（传统、可持续和伊斯兰）和不同的投资期限，结果都是稳健的。