Table 3.

Testing for the safe haven property of gold and Bitcoin.

	Estimate	Standard error	t-statistic	p-value
Panel A: WTI-Gold
${\alpha }_0$	0.0171	0.0053	3.21***	0.00
${\delta }_1$	−0.1058	0.0214	−4.94***	0.00
${\delta }_2$	−0.0235	0.0106	−2.21**	0.03
F-statistic	13.51***
Panel B: Brent-Gold
${\alpha }_0$	0.0241	0.0046	5.16***	0.00
${\delta }_1$	−0.0010	0.0188	−0.05	0.96
${\delta }_2$	−0.0263	0.0093	−2.82***	0.00
F-statistic	4.01**
Panel C: WTI-Bitcoin
${\alpha }_0$	−0.0052	0.0051	−1.02	0.31
${\delta }_1$	0.1748	0.0207	8.45***	0.00
${\delta }_2$	−0.0040	0.0102	−0.39	0.69
F-statistic	36.78***
Panel D: Brent-Bitcoin
${\alpha }_0$	0.0185	0.0014	12.55***	0.00
${\delta }_1$	0.0125	0.0059	2.12**	0.04
${\delta }_2$	0.0377	0.0029	12.82***	0.00
F-statistic	82.32***

Notes: This table reports the estimates of Eq. (6): ${\hat{\rho }}_{xyt}={\alpha }_0+{\delta }_{1}COVI{D}_t+{\delta }_{2}Crisi{s}_t+u_t.$ ***, ** and * indicate statistical significance at 1%, 5% and 10% levels respectively.