The DOI matches its Crossref record; 12 of the 12 references it cites were found in a registry or an index.
COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin
Open accessAbstract
The global crude oil market has experienced a significant downturn following the novel coronavirus outbreak (COVID-19) in December 2019. Thereafter, all the major oil markets have become extremely volatile, and investments in these markets could lead to substantial losses. This paper empirically investigates the time-varying correlations between gold and oil markets to examine whether gold is a safe haven asset for the international crude oil markets during the COVID-19 period. For the purpose of comparison, the safe haven property of Bitcoin is tested as well. The results of the time-varying correlations obtained through the DCC-GARCH model suggest that gold is a safe haven asset for global crude oil markets. Bitcoin, on the other hand, acts only as a diversifier for crude oil. The results further show that the portfolio risk is minimized when investors include oil and gold in their portfolio rather than holding assets in oil and Bitcoin markets. Given that financial downturn, terrorist attacks, pandemics and similar global events often play a crucial role in portfolio risk analysis, our results could be of interest to those who invest in oil, gold and Bitcoin markets.
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Cites
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Is gold a safe haven? International evidence
Baur, D. G., & McDermott, T. K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.12.008 · Cited by 1,947
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017) · Finance Research Letters · doi:10.1016/j.frl.2016.09.025 · Cited by 1,432
Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models
Engle, R. F. (2000) · SSRN Electronic Journal · doi:10.2139/ssrn.236998 · Cited by 1,107
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D. (2017) · Finance Research Letters · doi:10.1016/j.frl.2017.02.009 · Cited by 815
Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
Demir, E., Gozgor, G., Lau, C. K. M., & Vigne, S. A. (2018) · Finance Research Letters · doi:10.1016/j.frl.2018.01.005 · Cited by 693
Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013) · International Review of Financial Analysis · doi:10.1016/j.irfa.2012.12.001 · Cited by 661
Is gold a safe haven or a hedge for the US dollar? Implications for risk management
Reboredo, J. C. (2013) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.03.020 · Cited by 511
Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold
Baur, D. G., & Lucey, B. M. (2009) · SSRN Electronic Journal · doi:10.2139/ssrn.952289 · Cited by 356
Das, D., Le Roux, C. L., Jana, R. K., & Dutta, A. (2020) · Finance Research Letters · doi:10.1016/j.frl.2019.101335 · Cited by 168
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Metadata
- Authors
- Dutta, A., Das, D., Jana, R. K., & Vo, X. V.
- Venue
- Resources Policy
- Publisher
- Elsevier BV
- Published
- 2020-12
- Volume
- 69
- Pages
- 101816
- ISSN
- 0301-4207 (ISSN-L)
- OpenAlex
- W3046360496
- Cited by
- 303
- References
- 12
- FWCI
- 41.80
- Type
- journal article
- Language
- en
- Open access
- green
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