Gold, bonds, and epidemics: a safe haven study

Tonmoy Choudhury, Harald Kinateder, Biwesh Neupane

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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
Publication statusE-pub ahead of print - 16 May 2022


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


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