期刊
FINANCE RESEARCH LETTERS
卷 43, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2021.101951
关键词
COVID-19; DCC-GARCH; Exchange rates; Global financial crisis; Gold; Safe haven; Sovereign bonds
资金
- Edith Cowan University [G1004390]
In this study, a model was used to reveal a significant decrease in correlation between major financial asset classes during the COVID-19 period, especially when the VIX was at its peak. Gold, U.S., UK, and German sovereign bonds were identified as safe options for investors.
In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes- 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 COVID19'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.
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