Research Article

The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test

Number: 117 April 27, 2022
Onur Oğuz , Özge Korkmaz *
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The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test

Abstract

The Coronavirus is one of the most influential infectious diseases of the 21st century. This study investigates the Hatemi-J asymmetric causality relationship between stock market returns and gold market returns for five of the most affected countries between January 02, 2020 and December 31, 2020. The results show that because of the demand for liquidity, the atmosphere of panic, and the perception of gold as a safe haven, the causal relationship is not strong for each country.

Keywords

Covid-19, Stock Exchange Markets

References

  1. Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A., & Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 100326.
  2. Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. arXiv preprint arXiv:2003.04005., Accessed 02 April 2020.
  3. Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) – An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 100341. doi:10.1016/j.jbef.2020.100341

Details

Primary Language

English

Subjects

Finance

Journal Section

Research Article

Authors

Publication Date

April 27, 2022

Submission Date

December 19, 2021

Acceptance Date

April 27, 2022

Published in Issue

Year 2022 Number: 117

DOI

https://doi.org/10.33203/mfy.1038564

IZ

https://izlik.org/JA27FP37SM

Cite

RIS / Bibtex
APA
Oğuz, O., & Korkmaz, Ö. (2022). The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye Ve Finans Yazıları, 117, 77-100. https://doi.org/10.33203/mfy.1038564
AMA
1.Oğuz O, Korkmaz Ö. The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları. 2022;(117):77-100. doi:10.33203/mfy.1038564
Chicago
Oğuz, Onur, and Özge Korkmaz. 2022. “The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”. Maliye Ve Finans Yazıları, nos. 117: 77-100. https://doi.org/10.33203/mfy.1038564.
EndNote
Oğuz O, Korkmaz Ö (April 1, 2022) The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları 117 77–100.
IEEE
[1]O. Oğuz and Ö. Korkmaz, “The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”, Maliye ve Finans Yazıları, no. 117, pp. 77–100, Apr. 2022, doi: 10.33203/mfy.1038564.
ISNAD
Oğuz, Onur - Korkmaz, Özge. “The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”. Maliye ve Finans Yazıları. 117 (April 1, 2022): 77-100. https://doi.org/10.33203/mfy.1038564.
JAMA
1.Oğuz O, Korkmaz Ö. The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları. 2022;:77–100.
MLA
Oğuz, Onur, and Özge Korkmaz. “The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”. Maliye Ve Finans Yazıları, no. 117, Apr. 2022, pp. 77-100, doi:10.33203/mfy.1038564.
Vancouver
1.Onur Oğuz, Özge Korkmaz. The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları. 2022 Apr. 1;(117):77-100. doi:10.33203/mfy.1038564

The scope of the Journal of Finance Letters consists of studies in the fields of economics, public finance, finance, and banking.