TY - JOUR
AU - Choudhury, Tonmoy
AU - Kinateder, Harald
AU - Neupane, Biwesh
PY - 2022
DA - May
TI - Gold, bonds, and epidemics: a safe haven study
JO - Finance Research Letters
VL - 48
DO - https://doi.org/10.1016/j.frl.2022.102978
AB - 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.
PB - Elsevier
UR - https://strathprints.strath.ac.uk/88131/
KW - Coronavirus (COVID-19)
ER