A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic

IF 0.9 Q3 ECONOMICS

Scientific Annals of Economics and Business Pub Date : 2022-08-23 DOI:10.47743/saeb-2022-0019

Sruthy Madhavan, Sivaramapanicker Sreejith

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引用次数: 0

Abstract

Gold is a traditional favorite investment avenue for investors all over the globe, particularly during the crisis period. Irrespective of the nature of the crisis, investors are allocating their funds to different gold-backed assets. This paper uses various globally traded gold-backed assets to identify its role and market linkages during the Covid 19 pandemic. Daily prices of assets from March 2020 to January 2022 were employed. DCC GARCH model is used to ascertain time-varying correlations and quantile regression was employed to examine the relationship between assets in different quantiles. Based on the analysis, safe haven property of all the assets is revealed and it is associated with the severity of the stock market crash as specified by the quantiles. Moreover, double exposure of gold mining stock results in different flights to quality. Co-movement of gold bullion, gold futures, and gold volatility index is visible during this crisis. Gold Exchange Traded Funds and gold-backed cryptocurrency offer diversification by decoupling with gold bullion in the portfolio. The paper highlights the importance of the choice of gold-backed assets along with gold bullion in the investment portfolio based on its role and market linkages.

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新冠肺炎疫情期间黄金支持资产的作用及市场关联性比较分析

黄金是全球投资者最喜欢的传统投资渠道，尤其是在危机期间。无论危机的性质如何，投资者都在将资金配置到不同的黄金支持资产上。本文使用各种全球交易的黄金支持资产来确定其在2019冠状病毒病大流行期间的作用和市场联系。采用2020年3月至2022年1月的每日资产价格。采用DCC GARCH模型确定时变相关性，采用分位数回归检验不同分位数资产之间的关系。在分析的基础上，揭示了所有资产的避险属性，并与分位数指定的股市崩盘严重程度相关。此外，黄金矿业股的双重敞口导致了不同的投资质量。在这次危机中，可以看到金条、黄金期货和黄金波动指数的共同运动。黄金交易所交易基金(etf)和黄金支持的加密货币通过与投资组合中的金条脱钩，实现了多样化。本文强调了基于其作用和市场联系的黄金支持资产以及金条在投资组合中的选择的重要性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Scientific Annals of Economics and Business ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

10 weeks

期刊介绍： The Journal called Scientific Annals of Economics and Business (formerly Analele ştiinţifice ale Universităţii "Al.I. Cuza" din Iaşi. Ştiinţe economice / Scientific Annals of the Alexandru Ioan Cuza University of Iasi. Economic Sciences), was first published in 1954. It is published under the care of the Alexandru Ioan Cuza University, the oldest higher education institution in Romania, a place of excellence and innovation in education and research since 1860. Throughout its editorial life, the journal has been continuously improving. Renowned professors, well-known in the country and abroad, have published in this journal. The quality of the published materials is ensured both through their review by external reviewers of the institution and by the editorial staff that includes professors for each area of interest. The journal published papers in the following main sections: Accounting; Finance, Money and Banking; Management, Marketing and Communication; Microeconomics and Macroeconomics; Statistics and Econometrics; The Society of Knowledge and Business Information Systems.