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

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

62 Downloads (Pure)

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

UN SDGs

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

SDG 3 Good Health and Well-being

Keywords

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

Access to Document

10.1016/j.frl.2022.102978Licence: None: All rights reserved

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

Cite this

@article{3b54d68d635c4e6399e3d8301a878663,

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.",

keywords = "Covid-19, DCC-GAARCH, Ebola, Gold, Pandemic, SARS, Sovereign bonds, Swine Flu, Zika",

author = "Tonmoy Choudhury and Harald Kinateder and Biwesh Neupane",

year = "2022",

month = may,

day = "16",

doi = "10.1016/j.frl.2022.102978",

language = "English",

volume = "48",

journal = "Finance Research Letters",

issn = "1544-6123",

publisher = "Elsevier",

}

TY - JOUR

T1 - Gold, bonds, and epidemics

T2 - a safe haven study

AU - Choudhury, Tonmoy

AU - Kinateder, Harald

AU - Neupane, Biwesh

PY - 2022/5/16

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.

KW - Covid-19

KW - DCC-GAARCH

KW - Ebola

KW - Gold

KW - Pandemic

KW - SARS

KW - Sovereign bonds

KW - Swine Flu

KW - Zika

UR - https://www.scopus.com/pages/publications/85130586006

U2 - 10.1016/j.frl.2022.102978

DO - 10.1016/j.frl.2022.102978

M3 - Article

SN - 1544-6123

VL - 48

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 102978

ER -

Gold, bonds, and epidemics: a safe haven study

Abstract

UN SDGs

Keywords

Access to Document

Fingerprint

Cite this