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

Afees A. Salisu, Ibrahim D. Raheem, Xuan Vinh Vo

Research output: Contribution to journalArticlepeer-review

28 Citations (Scopus)

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.

Original languageEnglish
Article number101666
Number of pages7
JournalInternational Review of Financial Analysis
Volume74
Early online date12 Jan 2021
DOIs
Publication statusPublished - Mar 2021
Externally publishedYes

Keywords

  • COVID-19
  • Gold
  • Predictability
  • Safe haven
  • Uncertainty

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