Gold, Bonds, and Epidemics : A Safe Haven Study

The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. To this end, this study employs a DCC-GARCH model to analyze the conditional correlations between daily returns of S&P 500 and MSCI Emerging Markets Index with gold and the major sovereign bonds. We study the effectiveness as safe haven during the epidemics caused by SARS, Ebola, Zika, Swine Flu, and COVID-19. Our results show that gold is a weak safe haven for stock market investors during the epidemics, and U.S. treasuries are the safest option followed by Japanese sovereign bonds