Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach

被引：1

作者：

Banerjee, Ameet Kumar ^{[1
]}

Pradhan, Hemanta Kumar ^{[1
]}

机构：

[1] XLRI Xavier Sch Management, Jamshedpur 831001, Jharkhand, India

来源：

JOURNAL OF EMERGING MARKET FINANCE | 2024年 / 23卷 / 04期

关键词：

Precious metal; COVID-19; crisis; copula approach; safe haven; GOLD; BONDS; STOCK; MODEL; VOLATILITY; MARKETS; NEWS; OIL; US;

D O I：

10.1177/09726527241251515

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the hedging and safe-haven characteristics of gold, silver, platinum, and palladium and three major indices in the US market. The metal markets are known for their hedging characteristics during financial distress. This article sheds new insights using high-frequency data into precious metals' hedging and safe-haven abilities under extreme market volatility conditions attributed to the COVID-19 crisis using the copula method. The results show that gold outperforms all other precious metals in hedging and as a safe haven under extreme stock market conditions, in both the pre-crisis and crisis periods, with silver as the next best alternative.JEL codes: G01, G11, G15, G19

引用

页码：399 / 423

页数：25

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