The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test
Öz
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.
Anahtar Kelimeler
Kaynakça
- 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.
- Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. arXiv preprint arXiv:2003.04005., Accessed 02 April 2020.
- 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
The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test
Öz
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.
Anahtar Kelimeler
Kaynakça
- 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.
- Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. arXiv preprint arXiv:2003.04005., Accessed 02 April 2020.
- 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
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | Finans |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 27 Nisan 2022 |
| Gönderilme Tarihi | 19 Aralık 2021 |
| Yayımlandığı Sayı | Yıl 2022 |
Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.