Can gold be a safe haven during the COVID-19 pandemic? A quantile causality analysis

被引：5
|
作者：
Wang, Kuan-Min [1 ]
机构：
[1] Overseas Chinese Univ, Coll Business & Management, Dept Finance, 100 Chiao Kwang Rd, Taichung 40721, Taiwan
来源：
JOURNAL OF STATISTICS & MANAGEMENT SYSTEMS | 2021年 / 24卷 / 05期
关键词：
Gold; Safe haven; COVID-19; Quantile causality test; STOCK;
D O I：
10.1080/09720510.2021.1945726
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This study investigates the causal relationship between the coronavirus disease (COVID-19) pandemic and the gold market through a quantile causality framework. It examines whether gold can be a safe haven for funds during the spread of COVID-19 using daily data from January 23, 2020 to July 10, 2020. The empirical findings suggest that the COVID-19 pandemic and the gold market have a bi-directional causality only at lower and higher quantiles. However, gold acts as a safe haven for investors only under higher quantiles (0.95). It means that only in a high quantile, gold be a safe haven during the COVID-19 pandemic.
引用
收藏
页码：1113 / 1125
页数：13
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