Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

被引：111
|
作者：
Wen, Fenghua [1 ,2 ]
Tong, Xi [1 ]
Ren, Xiaohang [1 ]
机构：
[1] Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
[2] Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2022年 / 81卷
基金：
中国国家自然科学基金;
关键词：
Gold; Bitcoin; Safe haven; COVID-19; TVP-VAR model; Impulse response; HEDGING EFFECTIVENESS; DYNAMIC CORRELATIONS; NONLINEAR CAUSALITY; STOCK MARKETS; OIL PRICE; TIME; VOLATILITY; UNCERTAINTY; INVESTMENT; SEARCH;
D O I：
10.1016/j.irfa.2022.102121
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.
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页数：13
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