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Testing Safe Haven Property of Bitcoin and Gold during Covid-19 : Evidence from Multivariate GARCH analysis

Author

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  • Anoop S Kumar

    (Central University of Andhra Pradesh)

Abstract

We test the safe-haven property of Gold and Bitcoin against equity markets (NSE50, DJIA, SSE, and CAC40) in the backdrop of Covid-19. We employ two multivariate volatility models, namely DCC and cDCC GARCH for analytical purposes. We find both Gold and Bitcoin to be negligibly correlated with equity returns most of the time. However, we observe a positive correlation during the initial phase of Covid-19. The results suggest that both Gold and Bitcoin exhibit the safe-haven property overall. However, during Covid-19, the safe-haven property of both Bitcoin and Gold is found to be partially compromised. We find Gold to exhibit relatively better safe-haven properties.

Suggested Citation

  • Anoop S Kumar, 2020. "Testing Safe Haven Property of Bitcoin and Gold during Covid-19 : Evidence from Multivariate GARCH analysis," Economics Bulletin, AccessEcon, vol. 40(3), pages 2005-2015.
    • Handle: RePEc:ebl:ecbull:eb-20-00540
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    Citations

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    Cited by:

    1. Ihsan Erdem Kayral & Ahmed Jeribi & Sahar Loukil, 2023. "Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?," JRFM, MDPI, vol. 16(4), pages 1-22, April.
    2. Umar, Zaghum & Aziz, Saqib & Tawil, Dima, 2021. "The impact of COVID-19 induced panic on the return and volatility of precious metals," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    3. Sruthy Madhavan & S. Sreejith, 2022. "A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(3), pages 417-433, August.
    4. Aysu Ahmadova & Taghi Guliyev & Khatai Aliyev, 2024. "The Relationship between Bitcoin and Nasdaq, U.S. Dollar Index and Commodities," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 281-289, January.
    5. Tuna, Gülfen & Tuna, Vedat Ender, 2022. "Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets," Resources Policy, Elsevier, vol. 76(C).
    6. Alhonita Yatie, 2022. "Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices," Working Papers hal-03579957, HAL.
    7. Lahiani, Amine & Mefteh-Wali, Salma & Vasbieva, Dinara G., 2021. "The safe-haven property of precious metal commodities in the COVID-19 era," Resources Policy, Elsevier, vol. 74(C).
    8. Wasiuzzaman, Shaista & Haji Abdul Rahman, Hajah Siti Wardah, 2021. "Performance of gold-backed cryptocurrencies during the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 43(C).
    9. Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
    10. Alhonita Yatie, 2022. "Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices," Papers 2202.10760, arXiv.org.
    11. Mustafa Özer & Serap Kamisli & Fatih Temizel & Melik Kamisli, 2022. "Are COVID-19-Related Economic Supports One of the Drivers of Surge in Bitcoin Market? Evidence from Linear and Non-Linear Causality Tests," Mathematics, MDPI, vol. 11(1), pages 1-24, December.
    12. Chkili, Walid & Ben Rejeb, Aymen & Arfaoui, Mongi, 2021. "Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold," Resources Policy, Elsevier, vol. 74(C).

    More about this item

    Keywords

    Bitcoin; Gold; Covid-19; Safe Haven; DCC GARCH;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance

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