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 | |
| State | Published - Aug 2022 |
Bibliographical note
Publisher Copyright:© 2022 Elsevier Inc.
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 3 Good Health and Well-being
Keywords
- COVID-19
- DCC-GARCH
- Ebola
- Gold
- Pandemics
- SARS
- Sovereign bonds
- Swine flu
- Zika
ASJC Scopus subject areas
- Finance
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