Exploration of safe havens for Africa's stock markets: A test case under COVID-19 crisis

•We explore safe havens for Africa's equity markets.•DCC-GARCH and regression dummies for COVID-19 epidemic and pandemic are used.•Bitcoin and precious metals offer no sanctuary for Africa's emerging equities.•Gold and palladium outweigh others as safe havens for small-sized equity markets.•Bitcoin acts only as complementary but not a superior safe haven substitute. The bear markets associated with the ongoing COVID-19 crisis present a test case to examine the traditionally expounded safe haven capabilities of gold and other precious metals, as well as the growing claims that bitcoin is the new “virtual gold” of our time. New evidence from our paper fails to corroborate such claims, however, we find bitcoin as a complementary safe haven asset. Further results show that none of the traditional safe havens and bitcoin could offer refuge for Africa's emerging equity markets. Instead, gold and palladium outperform the other candidates to provide sanctuary for small-sized equity markets.