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The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test

Author

Listed:
  • Onur Oğuz

    (Batman University)

  • Özge Korkmaz

    (Malatya Turgut Özal University)

Abstract

The coronavirus is one of the most influential infectious diseases of the 21st century. This study investigates the hatemi-j asymmetric causality relationship between stock market returns and gold market returns for five of the most affected countries between january 02, 2020 and december 31, 2020. The results show that because of the demand for liquidity, the atmosphere of panic, and the perception of gold as a safe haven, the causal relationship is not strong for each country.

Suggested Citation

  • Onur Oğuz & Özge Korkmaz, 2022. "The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(117), pages 77-100, April.
    • Handle: RePEc:acc:malfin:v:37:y:2022:i:117:p:77-100
    DOI: https://doi.org/10.33203/mfy.1038564
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    References listed on IDEAS

    as
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    Keywords

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance

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