The impact of COVID-19 induced panic on the return and volatility of precious metals

Zaghum Umar, Saqib Aziz and Dima Tawil

Journal of Behavioral and Experimental Finance, 2021, vol. 31, issue C

Abstract: We use TVP-VAR approach to analyze the connectedness between the COVID-19 induced global panic index (GPI) and precious metals return and volatility. We find evidence of positive connectedness between the GPI and precious metals with GPI being a shock transmitter and precious metals, especially gold, being net receivers. While silver shows the highest resistance to shocks, platinum and palladium present a time varying transmission pattern. Our results refute the safe-haven property of precious metals during the COVID-19 outbreak, with the exception of silver.

Keywords: COVID-19; Global panic index; Precious metals; TVP-VAR method (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (28)

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Working Paper: The impact of COVID-19 induced panic on the return and volatility of precious metals (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000691

DOI: 10.1016/j.jbef.2021.100525

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