The impact of COVID-19 on gold seasonality

被引：14

作者：

Bentes, Sonia ^{[1
,2
]}

Gubareva, Mariya ^{[2
,3
]}

Teplova, Tamara ^{[4
]}

机构：

[1] Inst Politecn Lisboa, Lisbon Accounting & Business Sch, ISCAL, Lisbon, Portugal

[2] Univ Lisbon, Lisbon Sch Econ & Management, ISEG, Rua Miguel Lupi,20, P-1249078 Lisbon, Portugal

[3] SOCIUS CSG, Res Social Sci & Management, Lisbon, Portugal

[4] HSE Univ, Natl Res Univ Higher Sch Econ, Moscow, Russia

来源：

APPLIED ECONOMICS | 2022年 / 54卷 / 40期

关键词：

COVID-19; pandemic; gold; seasonality; 'autumn effect'; market sentiment; EGARCH models; FLIGHT-TO-QUALITY; VOLATILITY MODELS;

D O I：

10.1080/00036846.2022.2033681

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the impact of COVID-19 on the seasonality of gold returns by means of an asymmetric EGARCH model (Exponential GARCH). We find that the so-called 'autumn effect', or the traditional seasonal increase in gold returns in fall, vanishes and even shows a reverse pattern during the COVID-19 pandemic. We ascribe this phenomenon to the decaying demand for gold, which substantially decreased in the third quarter of 2020. In contrast, we find no evidence of seasonal effects in gold volatility, which is in line with earlier researches on this topic. Our results also confirm the positive asymmetric effect of gold volatility.

引用

页码：4700 / 4710

页数：11

共 36 条

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