This paper investigates the safe haven attributes of gold under extreme market conditions. Our main goal is to understand if this property still holds under exceptional times characterized by unusual high levels of uncertainty. To this end, we gathered data from 2018 to 2023 for a group of emerging markets – the CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) – thus encompassing a stable and a particularly turbulent period, which was marked by two consecutive crises: the COVID-19 and the Russian–Ukrainian war. We chose these countries as they are fast growing economies, which represent important investing opportunities, and because among the emerging markets these are the least studied. To achieve our goal we employed the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA). Our results showed that before the pandemic the cross-correlations between gold and the financial markets were mainly negative. However, with the onset of the crisis they became positive. This demonstrates that gold lost its popular safe haven attributes and highlights the need for investors to seek alternative investments to protect downward risk, especially under extremely turbulent scenarios.

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COVID-19,Russian–Ukrainian war,Safe haven,Multifractal detrended cross-correlation,Hurst exponents,Rare events

• Economics and Business - Social Sciences