@article{Choudhury_T-2022_168226,
title = {Gold, bonds, and epidemics: a safe haven study},
author = {Choudhury, T. and Kinateder, H. and Neupane, B.},
month = {may},
year = {2022},
abstract = {The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. We study the effectiveness as safe haven during the epidemics caused by SARS, Ebola, Zika, Swine Flu, and COVID-19. To this end, this study employs a DCC-GARCH model to analyze the conditional correlations between daily returns of S&amp;P 500 and MSCI Emerging Markets Index with gold and the major sovereign bonds. Our results show that gold is a weak safe haven for stock market investors during the epidemics, and U.S. treasuries are the safest option, followed by Japanese sovereign bonds.},
volume = {48},
journal = {Finance Research Letters},
publisher = {Elsevier},
url = {https://doi.org/10.1016/j.frl.2022.102978},
}
