Gold, bonds, and epidemics: a safe haven study

Authors: Choudhury, Tonmoy;

Kinateder, Harald ;

Neupane, Biwesh

Source: Finance Research Letters

Full text

: https://doi.org/10.1016/j.frl.2022.102978

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&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.

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Choudhury, T., Kinateder, H. & Neupane, B. 2022, 'Gold, bonds, and epidemics: a safe haven study', Finance Research Letters, 48, article no: 102978. https://doi.org/10.1016/j.frl.2022.102978

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DOI: https://doi.org/10.1016/j.frl.2022.102978

Repository URI: https://strathprints.strath.ac.uk/88131/