No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic

Zeyun Bei, Juan Lin and Yinggang Zhou

Journal of International Money and Finance, 2024, vol. 143, issue C

Abstract: Using the 2020 financial turmoil during the COVID-19 pandemic as a laboratory, we examine contagion, safe-haven, and diversification effects across stocks, gold, and oil. We develop a unified approach to quantify these effects using multivariate downside-to-upside and downside-to-downside CoVaR measures. Although gold lost its safe-haven glitter in the early pandemic, a diversification benefit still existed in the form of reduced downside risk and upside potential. However, strong contagion among the three assets occurred after the worldwide pandemic was declared on March 11, 2020. Further analysis shows that pandemic-related fear diminished diversification benefits of gold investment and exacerbated contagion spillovers.

Keywords: Contagion; Safe haven; Diversification; CoVaR; COVID-19 (search for similar items in EconPapers)
JEL-codes: C22 C53 G11 G12 G17 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561

DOI: 10.1016/j.jimonfin.2024.103069

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