Title

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

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.

Publisher

Elsevier

Disciplines

Business

Indexed in Scopus

no

Open Access

no

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