Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets

被引:41
作者
Ali, Shoaib [1 ]
Yousaf, Imran [2 ]
Umar, Zaghum [3 ]
机构
[1] Air Univ, Air Univ Sch Management, Islamabad, Pakistan
[2] Namal Univ, Dept Business Studies, Mianwali, Pakistan
[3] Zayed Univ, Coll Business, Dubai, U Arab Emirates
关键词
COVID-19; Financial market uncertainty; Treasury securities; Corporate bonds; Safe havens; C22; C32; E43; D80; G12; GRADE CORPORATE-BONDS; WAVELET COHERENCE; COVID-19; EVIDENCE; GOLD; STOCKS; COMMODITIES; PERFORMANCE; DEPENDENCE; LINKAGES; PROPERTY;
D O I
10.1108/RBF-04-2021-0069
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Purpose This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19. Design/methodology/approach The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021. Findings The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier. Research limitations/implications The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies. Originality/value The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.
引用
收藏
页码:477 / 487
页数:11
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