The impact of COVID-19 induced panic on the return and volatility of precious metals

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Saqib Aziz, Rennes School of Business
Dima Tawil, Rennes School of Business

ORCID Identifiers

0000-0001-6390-6406

Document Type

Article

Source of Publication

Journal of Behavioral and Experimental Finance

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

10.1016/j.jbef.2021.100525

Publisher

Elsevier

Volume

31

Disciplines

Business

Keywords

COVID-19, Global panic index, Precious metals, TVP-VAR method

Scopus ID

85107717124

Recommended Citation

Umar, Zaghum; Aziz, Saqib; and Tawil, Dima, "The impact of COVID-19 induced panic on the return and volatility of precious metals" (2021). All Works. 4302.
https://zuscholars.zu.ac.ae/works/4302

Indexed in Scopus

yes

Open Access

no