Gold, bonds, and epidemics: A safe haven study

Tonmoy Choudhury; Harald Kinateder; Biwesh Neupane

doi:10.1016/j.frl.2022.102978

Gold, bonds, and epidemics: A safe haven study

Tonmoy Choudhury, Harald Kinateder^*, Biwesh Neupane

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

71 Scopus citations

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.

Original language	English
Article number	102978
Journal	Finance Research Letters
Volume	48
DOIs	https://doi.org/10.1016/j.frl.2022.102978
State	Published - Aug 2022

Bibliographical note

Publisher Copyright:
© 2022 Elsevier Inc.

Keywords

COVID-19
DCC-GARCH
Ebola
Gold
Pandemics
SARS
Sovereign bonds
Swine flu
Zika

ASJC Scopus subject areas

Finance

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.frl.2022.102978

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title = "Gold, bonds, and epidemics: A safe haven study",

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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language = "English",

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T2 - A safe haven study

AU - Choudhury, Tonmoy

AU - Kinateder, Harald

AU - Neupane, Biwesh

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Y1 - 2022/8

N2 - 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.

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&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.

KW - COVID-19

KW - DCC-GARCH

KW - Ebola

KW - Gold

KW - Pandemics

KW - SARS

KW - Sovereign bonds

KW - Swine flu

KW - Zika

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M3 - Article

AN - SCOPUS:85130586006

SN - 1544-6123

VL - 48

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 102978

ER -

Gold, bonds, and epidemics: A safe haven study

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

UN SDGs

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