Gold against Asian Stock Markets during the COVID-19 Outbreak

Yousaf, Imran; Bouri, Elie; Ali, Shoaib; Azoury, Nehme

doi:10.3390/jrfm14040186

Cited by 54 publications

(37 citation statements)

References 46 publications

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“…Their results indicate that gold is an effective safe haven during a market collapse. Recent studies byYousaf et al (2021) andPisedtasalasai (2021) suggest that gold sustains the hedging and safe haven capabilities in Singapore and Thailand during the COVID-19 outbreak. Nevertheless, their studies are limited to covering only the first few months of the market downturn caused by COVID-19.…”

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confidence: 99%

Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

Kakinuma

2021

JABS

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Purpose This study aims to provide empirical evidence on the return and volatility spillover effects between Southeast Asian stock markets, bitcoin and gold in the periods before and during the COVID-19 pandemic. The interdependence among different asset classes, the two leading stock markets in Southeast Asia (Singapore and Thailand), bitcoin and gold, is analyzed for diversification opportunities. Design/methodology/approach The vector autoregressive-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity model is used to capture the return and volatility spillover effects between different financial assets. The data cover the period from October 2013 to May 2021. The full period is divided into two sub-sample periods, the pre-pandemic period and the during-pandemic period, to examine whether the financial turbulence caused by COVID-19 affects the interconnectedness between the assets. Findings The stocks in Southeast Asia, bitcoin and gold become more interdependent during the pandemic. During turbulent times, the contagion effect is inevitable regardless of region and asset class. Furthermore, bitcoin does not provide protection for investors in Southeast Asia. The pricing mechanism and technology behind bitcoin are different from common stocks, yet the results indicate the co-movement of bitcoin and the Singaporean and Thai stocks during the crisis. Finally, risk-averse investors should ensure that gold constitutes a significant proportion of their portfolio, approximately 40%–55%. This strategy provides the most effective hedge against risk. Originality/value The mean return and volatility spillover is analyzed between bitcoin, gold and two preeminent stock markets in Southeast Asia. Most prior studies test the spillover effect between the same asset classes such as equities in different regions or different commodities, currencies and cryptocurrencies. Moreover, the time-series data are divided into two groups based on the structural break caused by the COVID-19 pandemic. The findings of this study offer practical implications for risk management and portfolio diversification. Diversification opportunities are becoming scarce as different financial assets witness increasing integration.

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Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

Kakinuma

2021

JABS

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“…They found that gold did act as a safe haven but to a lesser extent during the COVID-19 than before the COVID-19 period. Yousaf et al (2021) have studied the safe haven behaviour of gold across thirteen Asian stock markets during the COVID-19 period. They found that gold acted as a strong safe haven in China, Indonesia, Singapore, and Vietnam, and a weak safe haven in Pakistan and Thailand.…”

Section: Literature Reviewmentioning

confidence: 99%

Is Gold a Hedge against Stock Price Risk in U.S. or Indian Markets?

Manuj

2021

Risks

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We study whether gold acts as a hedge or a safe haven in U.S. and the Indian stock markets. These two stock markets have been chosen as representatives of the developed markets and the emerging markets, respectively, and are of significant interest to long-term investors. We apply a linear regression and a GARCH technique to monthly return series data on the S&P500, the BSE Sensex, and gold prices. We find that, for the period of our study, 1980–2020, gold has not served as a hedge or a safe haven for long-term investors in the U.S. or Indian stock markets. This holds true even across multiple sub-periods in our study period. Gold returns do not exhibit a significant negative relationship with stock returns in any of the chosen stock market scenarios, i.e., in times of extremely low returns as well as in the periods of high or low volatility. Equity investors in U.S. and Indian markets can use the findings of this study for optimising their portfolios. Additionally, central bankers and policy makers can use the findings for better outcomes with respect to their policies on holding of gold.

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“…The authors observed that during the COVID-19 period, financial markets in Europe and North America transmitted and received a more marginal extreme risk to and from the entire global market than Asian stock markets. Similarly, Bouri et al (2021) provided evidence of a dramatic change in the structure and time-varying patterns of the connectedness of returns across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 outbreak (see also Conlon and McGee 2020;Yousaf et al 2021;Yarovaya et al 2020).…”

Section: Introductionmentioning

confidence: 99%

Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach

Alqaralleh

Canepa

2021

JRFM

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In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between stock market returns at higher frequencies with contagion, whereas changes at lower frequencies are associated with interdependence that relates to spillovers of shocks resulting from the normal interdependence between markets. An empirical analysis undertaken on six major stock markets reveals evidence of long-run interdependence between the markets under consideration before the start of the COVID-19 pandemic in December 2019. However, after the health crisis began, strong evidence of pure contagion among stock markets was detected.

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Gold against Asian Stock Markets during the COVID-19 Outbreak

Cited by 54 publications

References 46 publications

Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

Is Gold a Hedge against Stock Price Risk in U.S. or Indian Markets?

Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach

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