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Assessing the safe haven property of the gold market during COVID-19 pandemic

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  • Salisu, Afees
  • Raheem, Ibrahim
  • Vo, Xuan

Abstract

This study examines the safe haven prowess of gold against some exogenous shocks due to the COVID-19 pandemic. We further make a comparison of our findings with those obtained for the period before it. Our results confirm the potential of gold market to serve as a safe haven during the pandemic albeit with a higher effectiveness before the pandemic. Further results suggest that gold consistently offers better safe haven properties than the US stocks as well as other precious metals like Silver, Palladium and Platinum regardless of the period. Finally, we find that the predictive model that accounts for uncertainties outperforms the benchmark model that ignores the same both for the in- and out-of-sample forecast analyses.

Suggested Citation

  • Salisu, Afees & Raheem, Ibrahim & Vo, Xuan, 2021. "Assessing the safe haven property of the gold market during COVID-19 pandemic," MPRA Paper 105353, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:105353
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    More about this item

    Keywords

    Gold; Safe haven; Predictability; Uncertainty; COVID-19;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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