Article
The impact of COVID-19 induced panic on the return and volatility of precious metals
Journal of Behavioral and Experimental Finance
ORCID Identifiers
Document Type
Article
Publication Date
6-1-2021
Abstract
We use TVP-VAR approach to analyze the connectedness between the COVID-19 induced global panic index (GPI) and precious metals return and volatility. We find evidence of positive connectedness between the GPI and precious metals with GPI being a shock transmitter and precious metals, especially gold, being net receivers. While silver shows the highest resistance to shocks, platinum and palladium present a time varying transmission pattern. Our results refute the safe-haven property of precious metals during the COVID-19 outbreak, with the exception of silver.
DOI Link
Publisher
Elsevier
Disciplines
Keywords
- COVID-19,
- Global panic index,
- Precious metals,
- TVP-VAR method
Scopus ID
85107717124
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1016/j.jbef.2021.100525
Citation Information
Zaghum Umar, Saqib Aziz and Dima Tawil. "The impact of COVID-19 induced panic on the return and volatility of precious metals" Journal of Behavioral and Experimental Finance Vol. 31 (2021) Available at: http://works.bepress.com/zaghum-umar/39/