Gold, bonds, and epidemics: a safe haven study

Tonmoy Choudhury, Harald Kinateder, Biwesh Neupane

    Research output: Contribution to journalArticlepeer-review

    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 languageEnglish
    Article number102978
    JournalFinance Research Letters
    Early online date16 May 2022
    DOIs
    Publication statusE-pub ahead of print - 16 May 2022

    Keywords

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

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