Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets

Authors/Creators

Harald Kinateder
Ross Campbell, Edith Cowan University
Tonmoy Choudhury, Edith Cowan UniversityFollow

Abstract

In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.

Document Type

Journal Article

Date of Publication

2021

Volume

43

Publication Title

Finance Research Letters

Publisher

Elsevier

School

School of Business and Law

RAS ID

32690

Funders

Edith Cowan University

Comments

Kinateder, H., Campbell, R., & Choudhury, T. (2021). Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. Finance Research Letters, 43, article 101951. https://doi.org/10.1016/j.frl.2021.101951

Copyright

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