Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Harald Kinateder; Ross Campbell; Tonmoy Choudhury

doi:10.1016/j.frl.2021.101951

Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Harald Kinateder^*
, Ross Campbell
, Tonmoy Choudhury

^*Corresponding author for this work

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

216 Scopus citations

Abstract

In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.

Original language	English
Article number	101951
Journal	Finance Research Letters
Volume	43
DOIs	https://doi.org/10.1016/j.frl.2021.101951
State	Published - Nov 2021
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2021

UN SDGs

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

SDG 3 Good Health and Well-being
SDG 10 Reduced Inequalities

Keywords

COVID-19
DCC-GARCH
Exchange rates
Global financial crisis
Gold
Safe haven
Sovereign bonds

ASJC Scopus subject areas

Finance

Access to Document

10.1016/j.frl.2021.101951

Cite this

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title = "Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets",

abstract = "In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19{\textquoteright}s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.",

keywords = "COVID-19, DCC-GARCH, Exchange rates, Global financial crisis, Gold, Safe haven, Sovereign bonds",

author = "Harald Kinateder and Ross Campbell and Tonmoy Choudhury",

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year = "2021",

month = nov,

doi = "10.1016/j.frl.2021.101951",

language = "English",

volume = "43",

journal = "Finance Research Letters",

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AU - Kinateder, Harald

AU - Campbell, Ross

AU - Choudhury, Tonmoy

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Y1 - 2021/11

N2 - In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.

AB - In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.

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KW - DCC-GARCH

KW - Exchange rates

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KW - Gold

KW - Safe haven

KW - Sovereign bonds

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DO - 10.1016/j.frl.2021.101951

M3 - Article

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SN - 1544-6123

VL - 43

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 101951

ER -

Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Abstract

Bibliographical note

UN SDGs

Keywords

ASJC Scopus subject areas

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