Table 4 The percentage of days when proposed in the study weak/strong safe-haven property is met (interval of 2 standard deviations from the mean of posterior conditional correlation includes/is below zero during the period of market distress)
Quantile | Gold | Bitcoin | Euro | Franc | Yen | |
|---|---|---|---|---|---|---|
Weak/strong | Weak/strong | Weak/strong | Weak/strong | Weak/strong | ||
SPX | 0.05 | 88.6/11.4 | 100/0 | 95.5/4.5 | 92/8 | 3.4/96.6 |
0.02 | 91.7/8.3 | 100/0 | 91.7/8.3 | 83.3/16.7 | 2.8/97.2 | |
0.01 | 88.9/11.1 | 100/0 | 83.3/16.7 | 66.7/33.3 | 5.6/94.4 | |
0.005 | 88.9/11.1 | 100/0 | 77.8/22.2 | 44.4/55.6 | 0/100 | |
FTSE | 0.05 | 33/67 | 100/0 | 40.9/59.1 | 29.5/70.5 | 3.4/96.6 |
0.02 | 2.9/97.1 | 100/0 | 2.9/97.1 | 0/100 | 0/100 | |
0.01 | 5.6/94.4 | 100/0 | 0/100 | 0/100 | 0/100 | |
0.005 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
STOXX | 0.05 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 |
0.02 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
0.01 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
0.005 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
DAX | 0.05 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 |
0.02 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
0.01 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
0.005 | 0/100 | 100/0 | 0/100 | 0/100 | 0/100 | |
NIKKEI | 0.05 | 83/17 | 100/0 | 93.2/6.8 | 87.5/12.5 | 15.9/84.1 |
0.02 | 77.8/22.2 | 100/0 | 88.9/11.1 | 83.3/16.7 | 19.4/80.6 | |
0.01 | 83.3/16.7 | 100/0 | 83.3/16.7 | 77.8/22.2 | 11.1/88.9 | |
0.005 | 77.8/22.2 | 100/0 | 77.8/22.2 | 66.7/33.3 | 22.2/77.8 |