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

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

View graph of relations


Related Research Unit(s)


Original languageEnglish
Article number103069
Journal / PublicationJournal of International Money and Finance
Online published3 Apr 2024
Publication statusPublished - May 2024


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.

Research Area(s)

  • Contagion, Safe haven, Diversification, CoVaR, COVID-19