Munich Personal RePEc Archive

Assessing the safe haven property of the gold market during COVID-19 pandemic

Salisu, Afees and Raheem, Ibrahim and Vo, Xuan (2021): Assessing the safe haven property of the gold market during COVID-19 pandemic. Forthcoming in: International Review of Financial Analysis

[img]
Preview
PDF
MPRA_paper_105353.pdf

Download (586kB) | Preview

Abstract

This study examines the safe haven prowess of gold against some exogenous shocks due to the COVID-19 pandemic. We further make a comparison of our findings with those obtained for the period before it. Our results confirm the potential of gold market to serve as a safe haven during the pandemic albeit with a higher effectiveness before the pandemic. Further results suggest that gold consistently offers better safe haven properties than the US stocks as well as other precious metals like Silver, Palladium and Platinum regardless of the period. Finally, we find that the predictive model that accounts for uncertainties outperforms the benchmark model that ignores the same both for the in- and out-of-sample forecast analyses.

Logo of the University Library LMU Munich
MPRA is a RePEc service hosted by
the University Library LMU Munich in Germany.