The impact of COVID-19 induced panic on the return and volatility of precious metals
Source of Publication
Journal of Behavioral and Experimental Finance
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.
COVID-19, Global panic index, Precious metals, TVP-VAR method
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.
Indexed in Scopus