Can gold be a safe haven during the COVID-19 pandemic? A quantile causality analysis

被引：5

作者：

Wang, Kuan-Min ^{[1
]}

机构：

[1] Overseas Chinese Univ, Coll Business & Management, Dept Finance, 100 Chiao Kwang Rd, Taichung 40721, Taiwan

来源：

JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS | 2021年 / 24卷 / 05期

关键词：

Gold; Safe haven; COVID-19; Quantile causality test; STOCK;

D O I：

10.1080/09720510.2021.1945726

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This study investigates the causal relationship between the coronavirus disease (COVID-19) pandemic and the gold market through a quantile causality framework. It examines whether gold can be a safe haven for funds during the spread of COVID-19 using daily data from January 23, 2020 to July 10, 2020. The empirical findings suggest that the COVID-19 pandemic and the gold market have a bi-directional causality only at lower and higher quantiles. However, gold acts as a safe haven for investors only under higher quantiles (0.95). It means that only in a high quantile, gold be a safe haven during the COVID-19 pandemic.

引用

页码：1113 / 1125

页数：13

共 10 条

[1] Quantile causality between banking stock and real estate securities returns in the US [J].

Albulescu, C. T. ;

Bouri, E. ;

Tiwari, A. K. ;

Roubaud, D. .

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2020, 78 :251-260

[2] Descriptive analysis of COVID-19 patients in the context of India [J].

Bhatnagar, Vaibhav ;

Poonia, Ramesh Chandra ;

Nagar, Pankaj ;

Kumar, Sandeep ;

Singh, Vijander ;

Raja, Linesh ;

Dass, Pranav .

JOURNAL OF INTERDISCIPLINARY MATHEMATICS, 2021, 24 (03) :489-504

[3] Causality in quantiles and dynamic stock return-volume relations [J].

Chuang, Chia-Chang ;

Kuan, Chung-Ming ;

Lin, Hsin-Yi .

JOURNAL OF BANKING & FINANCE, 2009, 33 (07) :1351-1360

[4] COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin [J].

Dutta, Anupam ;

Das, Debojyoti ;

Jana, R. K. ;

Xuan Vinh Vo .

RESOURCES POLICY, 2020, 69

[5] The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets [J].

Gharib, Cheima ;

Mefteh-Wali, Salma ;

Ben Jabeur, Sami .

FINANCE RESEARCH LETTERS, 2021, 38

[6] Stock prices and house prices in California: new evidence of a wealth effect? [J].

Green, RK .

REGIONAL SCIENCE AND URBAN ECONOMICS, 2002, 32 (06) :775-783

[7] Searching for safe-haven assets during the COVID-19 pandemic [J].

Ji, Qiang ;

Zhang, Dayong ;

Zhao, Yuqian .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 71

[8] REGRESSION QUANTILES [J].

KOENKER, R ;

BASSETT, G .

ECONOMETRICA, 1978, 46 (01) :33-50

[9] Goodness of fit and related inference processes for quantile regression [J].

Koenker, R ;

Machado, JAF .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1999, 94 (448) :1296-1310

[10] Prediction of COVID-19 corona virus pandemic based on time series data using support vector machine [J].

Singh, Vijander ;

Poonia, Ramesh Chandra ;

Kumar, Sandeep ;

Dass, Pranav ;

Agarwal, Pankaj ;

Bhatnagar, Vaibhav ;

Raja, Linesh .

JOURNAL OF DISCRETE MATHEMATICAL SCIENCES & CRYPTOGRAPHY, 2020, 23 (08) :1583-1597

← 1 →