Contagious Diseases and Gold: Over 700 Years of Evidence from Quantile Regressions
Finance Research Letters
; : 103266, 2022.
Article
in English
| ScienceDirect | ID: covidwho-1996171
ABSTRACT
We investigate the effect of the probability of fatality due to contagious diseases on real gold returns over the period 1258–2020 using a predictive quantile regression model, which is justified by the features of non-normality, nonlinearity, and structural breaks in the dataset involving real gold returns and the probability of fatality. We show that real gold returns hedge the probability of fatality due to contagious diseases primarily when the gold market is bullish. However, the hedging ability is insignificant when the gold market is bearish. These results are important for investors seeking refuge in gold during rare disaster events.
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Collection:
Databases of international organizations
Database:
ScienceDirect
Language:
English
Journal:
Finance Research Letters
Year:
2022
Document Type:
Article
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