Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

被引：118

作者：

Wen, Fenghua ^{[1
,2
]}

Tong, Xi ^{[1
]}

Ren, Xiaohang ^{[1
]}

机构：

[1] Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China

[2] Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R China

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2022年 / 81卷

基金：

中国国家自然科学基金;

关键词：

Gold; Bitcoin; Safe haven; COVID-19; TVP-VAR model; Impulse response; HEDGING EFFECTIVENESS; DYNAMIC CORRELATIONS; NONLINEAR CAUSALITY; STOCK MARKETS; OIL PRICE; TIME; VOLATILITY; UNCERTAINTY; INVESTMENT; SEARCH;

D O I：

10.1016/j.irfa.2022.102121

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.

引用

页数：13

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