Gold, bonds, and epidemics: A safe haven study

被引：56

作者：

Choudhury, Tonmoy ^{[1
]}

Kinateder, Harald ^{[2
]}

Neupane, Biwesh ^{[3
]}

机构：

[1] King Fahd Univ Petr & Minerals, KFUPM Business Sch, IRC Finance & Digital Econ, Dhahran, Saudi Arabia

[2] Univ Passau, Sch Business Econ & Informat Syst, Innstr 27, D-94030 Passau, Germany

[3] Univ Birmingham, Dept Finance, Birmingham B15 2TT, W Midlands, England

来源：

FINANCE RESEARCH LETTERS | 2022年 / 48卷

关键词：

SARS; Ebola; Zika; Swine flu; COVID-19; DCC-GARCH; Sovereign bonds; Gold; Pandemics;

D O I：

10.1016/j.frl.2022.102978

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：7

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