No Safe Haven, Only Diversification and Contagion — Intraday Evidence around the COVID-19 Pandemic

Zeyun Bei; Juan Lin; Yinggang Zhou

doi:10.1016/j.jimonfin.2024.103069

Author(s)

Zeyun Bei
Juan Lin
Yinggang Zhou

Related Research Unit(s)

Department of Economics and Finance

Detail(s)

Original language	English
Article number	103069
Journal / Publication	Journal of International Money and Finance
Volume	143
Online published	3 Apr 2024
Publication status	Published - May 2024

Link(s)

DOI	DOI https://doi.org/10.1016/j.jimonfin.2024.103069 Final Published version
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Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-85189681445&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(aed51dd0-5961-433e-9d66-8e98525ad647).html

Abstract

Using the 2020 financial turmoil during the COVID-19 pandemic as a laboratory, we examine contagion, safe-haven, and diversification effects across stocks, gold, and oil. We develop a unified approach to quantify these effects using multivariate downside-to-upside and downside-to-downside CoVaR measures. Although gold lost its safe-haven glitter in the early pandemic, a diversification benefit still existed in the form of reduced downside risk and upside potential. However, strong contagion among the three assets occurred after the worldwide pandemic was declared on March 11, 2020. Further analysis shows that pandemic-related fear diminished diversification benefits of gold investment and exacerbated contagion spillovers. © 2024 Elsevier Ltd. All rights reserved.