Gold, bonds, and epidemics: a safe haven study

Tonmoy Choudhury; Harald Kinateder; Biwesh Neupane

doi:10.1016/j.frl.2022.102978

Gold, bonds, and epidemics: a safe haven study

Tonmoy Choudhury, Harald Kinateder, Biwesh Neupane

Accounting And Finance

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Abstract

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.

Original language	English
Article number	102978
Number of pages	7
Journal	Finance Research Letters
Volume	48
Early online date	23 May 2022
DOIs	https://doi.org/10.1016/j.frl.2022.102978
Publication status	Published - 31 Aug 2022

Keywords

SARS
Ebola
zika
swine flu
COVID-19
DCC-GARCH
sovereign bonds
gold
pandemic

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.frl.2022.102978

Choudhury-etal-FRL-2022-Gold-bonds-and-epidemics-a-safe-haven-studyAccepted author manuscript, 1.08 MBLicence: CC BY-NC-ND 4.0

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title = "Gold, bonds, and epidemics: a safe haven study",

abstract = "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.",

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AU - Choudhury, Tonmoy

AU - Kinateder, Harald

AU - Neupane, Biwesh

PY - 2022/8/31

Y1 - 2022/8/31

N2 - 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.

AB - 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.

KW - SARS

KW - Ebola

KW - zika

KW - swine flu

KW - COVID-19

KW - DCC-GARCH

KW - sovereign bonds

KW - gold

KW - pandemic

UR - https://research.birmingham.ac.uk/en/publications/gold-bonds-and-epidemics-a-safe-haven-study

U2 - 10.1016/j.frl.2022.102978

DO - 10.1016/j.frl.2022.102978

M3 - Article

SN - 1544-6123

VL - 48

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 102978

ER -

Gold, bonds, and epidemics: a safe haven study

Abstract

Keywords

UN SDGs

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