Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling

【Author】 Konstantakis, Konstantinos N.; Xidonas, Panos; Michaelides, Panayotis G.; Goutte, Stephane

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】During the catastrophic Covid-19 era, numerous assets experienced a decline in their original values, leaving the financial community grappling with the implications of the pandemic. A significant concern arising from this context is whether gold emerged as the ultimate safe haven during the pandemic and whether there were any shifts in investor behavior between the two waves of the pandemic. To address these concerns, we employed relevant analytical approaches, utilizing a dynamic Markov-Switching Regression (MSR) model. Our findings indicate that during both waves of Covid-19, gold exhibited characteristics of a safe haven asset against bonds, providing a hedge against economic turmoil. However, when it comes to stocks, gold's role slightly changed. It acted as a diversifier, offering a different pattern of returns compared to equities. This highlights gold's ability to adapt to evolving market characteristics.These results emphasize the importance of conducting further research on this topic to gain deeper insights into the factors influencing gold's behavior during periods of crisis. By expanding our understanding, we can refine risk management strategies and enhance portfolio performance in turbulent market conditions.

【Keywords】CoVid-19; Pandemic; Gold; -haven

【发表时间】2023 OCT

【收录时间】2023-09-10

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