Abstract
This paper examines whether the US healthcare sector serves as a reliable defensive equity investment during periods of severe macroeconomic stress. Grounded in the Flight-to-Safety market phenomenon. The study investigates how extreme market uncertainty prompts capital reallocation into safer assets. Using daily data from LSEG Workspace for the Vanguard Health Care ETF (VHT), Gold, and the S&P 500, the research analyses a 25-month window from March 31, 2020, to May 31, 2022, yielding 567 observations. The Capital Asset Pricing Model (CAPM) was implemented to measure short-term market risk (β), while the Engle-Granger methodology tested for a long-run relationship between VHT and Gold. Additionally, a GARCH(1,1) model was employed to capture volatility clustering and assess the persistence of market shocks across the three assets. The empirical results confirm that VHT exhibited statistically defensive properties and remained cointegrated with Gold. Furthermore, the GARCH(1,1) model successfully captured the high volatility persistence that characterised the pandemic period. These findings provide robust empirical evidence for the existing literature on safe-haven assets, with direct implications for portfolio diversification and risk management during systemic global downturns, as well as the need to assess additional alternative assets and their potential safe-haven properties.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 4.0 International License.
Recommended Citation
Omoya, Stephen
(2026)
"Healthcare or Gold? Comparative Safe-Haven Dynamics During the COVID-19 Market Crisis,"
Critical Letters in Economics & Finance:
Vol. 3:
Iss.
1, Article 5.
Available at:
https://arrow.tudublin.ie/clef/vol3/iss1/5