Safe haven assets are secure investment during
times of economic downturn. This study aims at analysing the roles of three
safe haven assets, Bitcoin, gold, and US dollars, during the COVID-19 pandemic.
By conducting a time series analysis of returns on stocks, gold, Bitcoin, and
US dollars between 2020 and 2022 using Vector
Auto Regression (VAR) method, this study found the empirical evidence
that suggests a negative correlation between gold and IDX, and between US
dollars and IDX. Therefore, it can be concluded that gold and US dollars are
safe haven assets in the IDX market. Meanwhile, despite being less resilient
than gold and US dollars, Bitcoin’s independence from stocks during bearish
markets makes it a safe haven asset.
