Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities

“…By taking a distinct focus from the previous studies that only focused on connectedness between either African stocks [61,62] or commodities [34,48,63] or between commodities and African stock markets [29,46], our study provides fresh evidence about the multiscale information flow between global commodities and African equities markets. Our findings corroborate the existing works that emphasise the essence of dynamic estimators as opposed to static measures in examining the interdependencies between either commodity classes only (see, e.g., [36][37][38][39][40]) or between commodities and other traditional assets (see, e.g., [34,41,42]). More importantly, our findings corroborate those of Tiwari et al [36] who found that the efficiency levels of commodity markets are nonhomogeneous for different commodities.…”

“…ese main strands discourse the dynamic interrelations between commodity classes only [36][37][38][39][40] and/or between commodities and traditional assets (like equities and exchange-traded funds (ETFs)) [41][42][43]. Undoubtedly, these works have been motivated fundamentally by high volatility in commodity markets and the issue of commodity financialisation, which still lingers in the empirical literature [6].…”

“…ey emphasised the high influence of oil exporters' equities in their volatility connectedness with oil shocks. Esparcia et al [41] revisited the safe-haven attribute of gold in a time-frequency paradigm covering the COVID-19 era. e basis for the study was to examine the role of gold in an equity-dominated portfolio using hybrid wavelet-and GARCH-based approaches.…”

Outperformance of the pharmaceutical sector during the COVID-19 pandemic: Global time-varying screening rule development

“…In this context of uncertainty, much of the financial literature is eagerly searching for so-called safe havens and hedging assets to mitigate the large losses caused by the global economic instability resulting from the pandemic. Many of these studies suggest the use of left-tailed performance measures to make refined and accurate choices of these safe haven securities [24] , [25] . Most studies conducted after the COVID-19 outbreak provide significant evidence that commodities, such as gold, have good hedging and safe haven properties [25] .…”

“…Many of these studies suggest the use of left-tailed performance measures to make refined and accurate choices of these safe haven securities [24] , [25] . Most studies conducted after the COVID-19 outbreak provide significant evidence that commodities, such as gold, have good hedging and safe haven properties [25] . Other commodities, such as oil, which had shown diversifying and safe haven properties in previous crises, have plummeted during the current pandemic in the wake of partial lockdowns and severe mobility restrictions [26] .…”