Posouzení role vybraných investičních aktiv v období finanční nestability

Abstract

This thesis focuses on the analysis of the role of selected investment assets during periods of financial instability, with an emphasis on their ability to serve as safe haven assets in relation to the stock market represented by the S&P 500 index. The aim of the thesis is to assess whether and how the relationship between stock market returns and selected assets, namely gold and oil, changes during crisis periods, and whether these assets can provide investors with protection against downturns in financial markets. The empirical analysis is based on data covering three major crisis periods – the global financial crisis, the COVID-19 pandemic, and the conflict in Ukraine. Financial econometric methods are employed to examine the relationships between variables, particularly regression analysis with the use of dummy variables, complemented by time series diagnostics and verification of model assumptions. The results indicate that the analyzed assets exhibit different behavior depending on the nature of the crisis period. While gold partially confirms its role as a safe haven, especially during periods of heightened uncertainty, oil does not fulfill this function, and its relationship with the stock market remains unstable during crises. The findings contribute to a better understanding of the diversification potential of selected assets in the context of investment risk management.