Abstract
Analogous to an experienced mariner choosing a safe harbour depending on the wind direction, we hypothesize safe-haven asset(s) are conditional on the cause of the market fall. Using oil markets as a salient case study, we find that traditional safe-haven assets, such as the US dollar and government bonds, act as safe havens only when oil prices fall due to declines in actual or expected demand. On the other hand, stock markets provide safe-haven protection when oil prices fall due to increases in oil supply. Therefore, our results suggest that papers that seek to identify safe-haven assets in response to declines in a given asset's return need to test for the possibility that the identified assets might not be safe-haven assets in all circumstances.