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Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

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  • Wen, Fenghua
  • Tong, Xi
  • Ren, Xiaohang

Abstract

This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.

Suggested Citation

  • Wen, Fenghua & Tong, Xi & Ren, Xiaohang, 2022. "Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000898
    DOI: 10.1016/j.irfa.2022.102121
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