The 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets?

Cheema, Muhammad Aamir; Faff, Robert W.; Szulczyk, Kenneth R.

doi:10.2139/ssrn.3642945

Cited by 40 publications

(38 citation statements)

References 30 publications

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“…After the COVID-19 outbreak, they found that the total connectedness spikes and the structure of the network of connectedness changed. Furthermore, Cheema, Faff & Szulczuk (2020) and Corbet, Larkin & Lucey (2020) examined the influence of the ongoing COVID-19 pandemic on the safe-haven properties of several liquid assets (i.e. such as U.S. Treasury bills, U.S. Treasury bonds, U.S. dollars, and cryptos) against either stock market or cryptocurrency losses.…”

Section: Previous Studiesmentioning

confidence: 99%

Better Safe Havens During Covid-19: A Comparison Between Islamic and Selected Financial Assets

Haddad

Trabelsi

2021

JIMF

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This study examines the safe haven properties of six assets (the S&P Technology Index, S&P GSCI Commodity Index, bitcoin, the Dow Jones Islamic Equity Index, the Dow Jones Global Sukuk Index and US Treasury bonds) during contiguous infectious diseases, employing the equity index returns of three regional markets (S&P500,S&P Europe, and S&P Asia-Pacific) over the period 2010 - 2020 Q2. In the research, information-rich methodological tools such as the Markov switching approach and the DCC-GARCH model are used. Our results suggest that Sukuk and bonds act as safe havens for different types of investors during the ongoing COVID-19 crisis. This property is, however, is not confirmed for the S&P Technology Index, Commodity Index, bitcoin or the DJ Islamic Equity Index. Moreover, using the time-varying VAR model and the new measure of pandemic uncertainty proposed by Baker et al. (2020), the results demonstrate that the COVID-19 pandemic has led to uncertainty and heightened volatility spillovers among regional equities and the safe haven assets examined. The key results of the study are robust and useful for portfolio managers and investors.

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Section: Previous Studiesmentioning

confidence: 99%

Better Safe Havens During Covid-19: A Comparison Between Islamic and Selected Financial Assets

Haddad

Trabelsi

2021

JIMF

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“…As regards investing strategies over the SARS-CoV-2 crisis, Ortmann, et al [71] suggested that investors open more stock and index positions, but do not shift to safe-haven or perilous investments. Hence, Cheema, Faff and Szulczyk [20], Cheema, Faff and Szulczyk [21] advised that gold and silver lost momentum in favor of liquid and stable assets such as treasuries and the Swiss franc. Mensi, et al [72] proved that gold and oil turned out to be more inefficient throughout the corona crisis related to the pre-pandemic period.…”

Section: Prior Research Regarding the Economic And Financial Consequementioning

confidence: 99%

“…Gold registered the highest level since January 2013 [ 18 ], but has been particularly variable since mid-February [ 19 ]. Nevertheless, the safe haven standing of gold vanished during corona crisis because its prices shifted in tandem with the stock markets of the ten largest economies [ 20 , 21 ]. As well, on April 20, 2020, traders tried to avoid physical possession of oil and massively sold oil futures contracts, sending them into negative region for the first time in history [ 22 ].…”

Section: Introductionmentioning

confidence: 99%

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

Gherghina

Armeanu

Joldeș

2020

IJERPH

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This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.

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“…Shifting away from traditional asset markets, Conlon and McGee (2020) show that a small allocation to Bitcoin substantially increases portfolio downside risk: cryptocurrencies move in lockstep with the S&P 500 as the crisis develops. In the same vein, Cheema et al (2020) identify that, during COVID, investors might have lost trust in gold. The US dollar has acted as a safe haven only for China and India during COVID.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 Pandemic and Financial Contagion

Chevallier

2020

JRFM

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The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis Federal Reserve Board. We deploy three types of models throughout our experiments: (i) the Susceptible-Infective-Removed (SIR) that predicts the infections’ peak on 2020-03-27; (ii) volatility (GARCH), correlation (DCC), and risk-management (Value-at-Risk (VaR)) models that relate how bears painted Wall Street red; and, (iii) data-science trees algorithms with forward prunning, mosaic plots, and Pythagorean forests that crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them to high-frequency data for 31 stock markets.

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The 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets?

Cited by 40 publications

References 30 publications

Better Safe Havens During Covid-19: A Comparison Between Islamic and Selected Financial Assets

Better Safe Havens During Covid-19: A Comparison Between Islamic and Selected Financial Assets

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

COVID-19 Pandemic and Financial Contagion

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