Is gold a hedge or a safe-haven asset in the COVID–19 crisis?

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buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage105588-26en_US
dc.citation.spage105588-1en_US
dc.citation.volumeNumber102en_US
dc.contributor.authorAkhtaruzzaman, M.
dc.contributor.authorBoubaker, S.
dc.contributor.authorLucey, B. M.
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2022-02-17T06:44:07Z
dc.date.available2022-02-17T06:44:07Z
dc.date.issued2021-09
dc.departmentDepartment of Managementen_US
dc.description.abstractThis study examines the role of gold as a hedge or safe-haven asset in different phases of the COVID-19 pandemic crisis, corresponding to the timing of fiscal and monetary stimuli to support the weakened economy. Using high-frequency data, the results show that gold served as a safe-haven asset for stock markets during Phase I (December 31, 2019–March 16, 2020) of the pandemic. However, gold lost its safe-haven role during Phase II (March 17−April 24, 2020). The optimal weights of gold in S&P 500, Euro Stoxx 50, Nikkei 225, and WTI crude oil portfolios significantly increased during Phase II, suggesting that investors expanded investment in gold as a ‘flight-to-safety asset’ during the crisis. Further, hedging costs increased significantly during Phase II. These findings provide insight for individual and institutional investors and guidance to policymakers, regulators, and media on how gold evolved as a hedge and safe-haven asset in different phases of the pandemic.en_US
dc.embargo.release2024-09-30
dc.identifier.doi10.1016/j.econmod.2021.105588en_US
dc.identifier.issn0264-9993
dc.identifier.urihttp://hdl.handle.net/11693/77441
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttps://doi.org/10.1016/j.econmod.2021.105588en_US
dc.source.titleEconomic Modellingen_US
dc.subjectCovid–19en_US
dc.subjectGolden_US
dc.subjectSafe-haven asseten_US
dc.subjectHedgeen_US
dc.subjectFinancial crisisen_US
dc.titleIs gold a hedge or a safe-haven asset in the COVID–19 crisis?en_US
dc.typeArticleen_US

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