The evolving role of traditional and alternative assets across turbulent periods

This paper investigates the role of traditional, standard and new alternative assets as safe havens, hedges, diversifiers, or contagion transmitters for the period 14 October 2014–18 July 2025, with a focus on the COVID-19 pandemic and the Russo–Ukrainian War. We introduce a two-stage hypothesis-testing framework by jointly employing the Dynamic Conditional Correlation (DCC-GARCH) model and the Time-Varying Parameter VAR (TVP-VAR) connectedness approach. The results indicate that no asset category provides universal safe-haven protection across crises. During the COVID-19 pandemic, safe-haven properties were mainly observed in selected currency and luxury-related assets, whereas during the Russo-Ukrainian War, stronger protection was provided by specific equity, commodity, luxury, and water-related assets. Furthermore, some assets exhibited safe-haven behaviour based on correlation dynamics but failed to retain this status when connectedness effects were considered, as they continued to transmit shocks within the financial network. Our findings improve portfolio resilience and diversification strategies under extreme market stress.