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Assessing the safe haven property of the gold market during COVID-19 pandemic

Afees Salisu (), Ibrahim Raheem () and Xuan Vinh Vo

International Review of Financial Analysis, 2021, vol. 74, issue C

Abstract: This study examines the safe haven prowess of gold against some exogenous shocks due to the COVID-19 pandemic. We further make a comparison of our findings with those obtained for the period before it. Our results confirm the potential of gold market to serve as a safe haven during the pandemic albeit with a higher effectiveness before the pandemic. Further results suggest that gold consistently offers better safe haven properties than the US stocks as well as other precious metals like Silver, Palladium and Platinum regardless of the period. Finally, we find that the predictive model that accounts for uncertainties outperforms the benchmark model that ignores the same both for the in- and out-of-sample forecast analyses.

Keywords: Gold; Safe haven; Predictability; Uncertainty; COVID-19 (search for similar items in EconPapers)
JEL-codes: F10 G10 G11 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000090

DOI: 10.1016/j.irfa.2021.101666

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