Gold, bonds, and epidemics: A safe haven study

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 condition...

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Detalles Bibliográficos
Autores principales: Choudhury, Tonmoy, Kinateder, Harald, Neupane, Biwesh
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9109996/
https://www.ncbi.nlm.nih.gov/pubmed/35601054
http://dx.doi.org/10.1016/j.frl.2022.102978
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author Choudhury, Tonmoy
Kinateder, Harald
Neupane, Biwesh
author_facet Choudhury, Tonmoy
Kinateder, Harald
Neupane, Biwesh
author_sort Choudhury, Tonmoy
collection PubMed
description 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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spelling pubmed-91099962022-05-17 Gold, bonds, and epidemics: A safe haven study Choudhury, Tonmoy Kinateder, Harald Neupane, Biwesh Financ Res Lett Article 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. Elsevier Inc. 2022-08 2022-05-16 /pmc/articles/PMC9109996/ /pubmed/35601054 http://dx.doi.org/10.1016/j.frl.2022.102978 Text en © 2022 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Choudhury, Tonmoy
Kinateder, Harald
Neupane, Biwesh
Gold, bonds, and epidemics: A safe haven study
title Gold, bonds, and epidemics: A safe haven study
title_full Gold, bonds, and epidemics: A safe haven study
title_fullStr Gold, bonds, and epidemics: A safe haven study
title_full_unstemmed Gold, bonds, and epidemics: A safe haven study
title_short Gold, bonds, and epidemics: A safe haven study
title_sort gold, bonds, and epidemics: a safe haven study
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9109996/
https://www.ncbi.nlm.nih.gov/pubmed/35601054
http://dx.doi.org/10.1016/j.frl.2022.102978
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