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

Fenghua Wen, Xi Tong and Xiaohang Ren

International Review of Financial Analysis, 2022, vol. 81, issue C

Abstract: 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.

Keywords: Gold; Bitcoin; Safe haven; COVID-19; TVP-VAR model; Impulse response (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000898

DOI: 10.1016/j.irfa.2022.102121

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