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.
ORCID iDs
Choudhury, Tonmoy, Kinateder, Harald and Neupane, Biwesh ORCID: https://orcid.org/0000-0001-7918-0259;-
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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: 27 Nov 2024 01:24 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/88131