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Gold, bonds, and epidemics: A safe haven study.
Tonmoy Choudhury1, Harald Kinateder2, Biwesh Neupane3
1IRC for Finance and Digital Economy, KFUPM Business School, King Fahd University of Petroleum and Minerals, KSA.
Finance Research Letters
|May 23, 2022
Summary
Gold and sovereign bonds were examined as safe havens during epidemics like COVID-19. U.S. treasuries and Japanese bonds proved safest, while gold offered weak protection for stock investors.
Area of Science:
- Financial Economics
- Epidemic Risk Management
Background:
- The COVID-19 pandemic prompted an evaluation of safe-haven assets during widespread health crises.
- Previous research on safe-haven effectiveness during epidemics remains limited.
Purpose of the Study:
- To assess the safe-haven properties of gold and sovereign bonds during major epidemics.
- To compare asset performance across SARS, Ebola, Zika, Swine Flu, and COVID-19.
Main Methods:
- Utilized a Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model.
- Analyzed daily returns of the S&P 500 and MSCI Emerging Markets Index against gold and sovereign bonds.
Main Results:
- Gold demonstrated weak safe-haven characteristics for stock market investors during epidemic periods.
- U.S. treasuries emerged as the most reliable safe-haven asset.
- Japanese sovereign bonds followed as the next safest option.
Conclusions:
- Investors seeking refuge during epidemics should prioritize U.S. treasuries.
- Gold's role as a safe haven during health crises is questionable.
- Diversification into specific sovereign bonds offers superior protection compared to gold.
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