Gold, bonds, and epidemics : a safe haven study
Choudhury, Tonmoy and Kinateder, Harald and Neupane, Biwesh (2022) Gold, bonds, and epidemics : a safe haven study. Finance Research Letters, 48. 102978. ISSN 1544-6123 (https://doi.org/10.1016/j.frl.2022.102978)
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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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Item type: Article ID code: 88131 Dates: DateEvent31 August 2022Published23 May 2022Published Online15 May 2022AcceptedSubjects: Social Sciences > Finance Department: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 08 Feb 2024 12:40 Last modified: 25 Apr 2024 01:37 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/88131