GLOBAL EFFECTS OF COVID-19 PANDEMIC ON THE FINANCIAL MARKETS: IS GOLD HEDGE OR SAFE HAVEN FOR STOCKS?
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Tarih
2022
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Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study investigates whether gold is hedge or safe haven for stocks for a sample of 14 countries (7 developed and 7 emerging markets), using regression methods with GARCH(1,1) errors. The analysis is based on daily frequency observations of a period of nearly 20 years, ranging from September 17, 2001 to September 10, 2021. The data are split into two sub-samples on December 30, 2019 to diversify the effects of the COVID-19 crisis on global investor behavior. Different currency denominations are considered for gold and stock prices both in terms of national currencies and the U.S. dollar to distinguish between the behaviors of domestic and foreign investors. The results indicate that gold is hedge and safe haven especially for the emerging markets during the COVID-19 pandemic when market falls become more severe in the aftermath of the worldwide economic turmoil. The number of countries where gold acts as hedge and safe haven increases when the market prices are in terms of national currencies.
Açıklama
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İktisat
Kaynak
Akademik Hassasiyetler
WoS Q Değeri
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Cilt
9
Sayı
20
