Can gold be a safe haven during the COVID-19 pandemic? A quantile causality analysis

Abstract

This study investigates the causal relationship between the coronavirus disease (COVID-19) pandemic and the gold market through a quantile causality framework. It examines whether gold can be a safe haven for funds during the spread of COVID-19 using daily data from January 23, 2020 to July 10, 2020. The empirical findings suggest that the COVID-19 pandemic and the gold market have a bi-directional causality only at lower and higher quantiles. However, gold acts as a safe haven for investors only under higher quantiles (0.95). It means that only in a high quantile, gold be a safe haven during the COVID-19 pandemic.

Subject Classification: (2010):

• 91G10
• 91G30
• 91G80

Keywords:

• Gold
• Safe haven
• COVID-19
• Quantile causality test