The safe-haven property of precious metal commodities in the COVID-19 era

Amine Lahiani, Salma Mefteh-Wali and Dinara G. Vasbieva

Resources Policy, 2021, vol. 74, issue C

Abstract: This paper examines the presence of short- and long-run asymmetric relationships between precious metal commodities and S&P 500 stock market index and explores the safe-haven role of five precious metals (Aluminum, Platinum, Palladium, Copper, Gold) against the S&P 500 market index. We apply the nonlinear ARDL framework on daily data covering the COVID-19 pandemic period from 12/31/2019 to 06/25/2021. The main results highlight that precious metal commodities still impact the S&P 500 stock market index in an asymmetric manner but have lost their safe-haven role against the S&P 500 index. In the short-run, only aluminum has an asymmetric effect on S&P 500. However, Platinum, palladium, copper and gold have a symmetric effect on S&P 500. In the short-term, palladium, copper and gold are safe-haven assets against the S&P 500 stock market index. Furthermore, none of the considered precious metals acts as a safe-haven asset in the long-run. Our results have significant implications for portfolio investment strategies.

Keywords: Precious metals; Safe-haven; S&P 500; COVID-19 (search for similar items in EconPapers)
JEL-codes: C12 C22 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003494

DOI: 10.1016/j.resourpol.2021.102340

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