Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets
Finance Research Letters
; : 101951, 2021.
Article
in English
| ScienceDirect | ID: covidwho-1056620
ABSTRACT
In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset class— 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.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
Finance Research Letters
Year:
2021
Document Type:
Article
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