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The impact of COVID-19 on gold seasonality

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  • Sónia R. Bentes
  • Mariya Gubareva
  • Tamara Teplova

Abstract

This study investigates the impact of COVID-19 on the seasonality of gold returns by means of an asymmetric EGARCH model (Exponential GARCH). We find that the so-called ‘autumn effect’, or the traditional seasonal increase in gold returns in fall, vanishes and even shows a reverse pattern during the COVID-19 pandemic. We ascribe this phenomenon to the decaying demand for gold, which substantially decreased in the third quarter of 2020. In contrast, we find no evidence of seasonal effects in gold volatility, which is in line with earlier researches on this topic. Our results also confirm the positive asymmetric effect of gold volatility.

Suggested Citation

  • Sónia R. Bentes & Mariya Gubareva & Tamara Teplova, 2022. "The impact of COVID-19 on gold seasonality," Applied Economics, Taylor & Francis Journals, vol. 54(40), pages 4700-4710, August.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:40:p:4700-4710
    DOI: 10.1080/00036846.2022.2033681
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    Cited by:

    1. Patel, Ritesh & Gubareva, Mariya & Chishti, Muhammad Zubair & Teplova, Tamara, 2024. "Connectedness between healthcare cryptocurrencies and major asset classes: Implications for hedging and investments strategies," International Review of Financial Analysis, Elsevier, vol. 93(C).
    2. Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2023. "EU sectoral stocks amid geopolitical risk, market sentiment, and crude oil implied volatility: An asymmetric analysis of the Russia-Ukraine tensions," Resources Policy, Elsevier, vol. 82(C).
    3. Ali, Shoaib & Naveed, Muhammad & Gubareva, Mariya & Vinh Vo, Xuan, 2024. "Reputational contagion from the Silicon Valley Bank debacle," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara & Tran, Dang K., 2022. "Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 47(PB).
    5. Ali, Shoaib & Naveed, Muhammad & Hanif, Hasan & Gubareva, Mariya, 2024. "The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets," International Review of Financial Analysis, Elsevier, vol. 91(C).

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