Gold, bonds, and epidemics : a safe haven study

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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 logoORCID: https://orcid.org/0000-0001-7918-0259;
CORE (COnnecting REpositories)