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

Finance

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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.

Original language	English
Article number	102978
Journal	Finance Research Letters
Volume	48
Early online date	16 May 2022
DOIs	https://doi.org/10.1016/j.frl.2022.102978
Publication status	E-pub ahead of print - 16 May 2022

Keywords

Covid-19
DCC-GAARCH
Ebola
Gold
Pandemic
SARS
Sovereign bonds
Swine Flu
Zika

UN SDGs

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

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ChoudhuryT2022GoldAccepted author manuscript, 596 KBLicence: Creative Commons: Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)

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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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AU - Kinateder, Harald

AU - Neupane, Biwesh

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Y1 - 2022/5/16

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.

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Gold, bonds, and epidemics: a safe haven study

Abstract

Keywords

UN SDGs

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