Gold, bonds, and epidemics: A safe haven study

Tonmoy Choudhury, Harald Kinateder and Biwesh Neupane

Finance Research Letters, 2022, vol. 48, issue C

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.

Keywords: SARS; Ebola; Zika; Swine flu; COVID-19; DCC-GARCH; Sovereign bonds; Gold; Pandemics (search for similar items in EconPapers)
JEL-codes: C32 G01 G11 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002276

DOI: 10.1016/j.frl.2022.102978

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