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

Document Type

Journal Article

Publication Title

Finance Research Letters

Volume

43

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

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.

DOI

10.1016/j.frl.2021.101951

Access Rights

free_to_read

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