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The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test

Year 2022, Issue: 117, 77 - 100, 27.04.2022

Onur Oğuz , Özge Korkmaz

https://doi.org/10.33203/mfy.1038564

Abstract

The Coronavirus is one of the most influential infectious diseases of the 21st century. This study investigates the Hatemi-J asymmetric causality relationship between stock market returns and gold market returns for five of the most affected countries between January 02, 2020 and December 31, 2020. The results show that because of the demand for liquidity, the atmosphere of panic, and the perception of gold as a safe haven, the causal relationship is not strong for each country.

Keywords

Gold Covid-19 Stock Exchange Markets

References

  • Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A., & Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 100326.
  • Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. arXiv preprint arXiv:2003.04005., Accessed 02 April 2020.
  • Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) – An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 100341. doi:10.1016/j.jbef.2020.100341

The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test

Year 2022, Issue: 117, 77 - 100, 27.04.2022

Onur Oğuz , Özge Korkmaz

https://doi.org/10.33203/mfy.1038564

Abstract

The Coronavirus is one of the most influential infectious diseases of the 21st century. This study investigates the Hatemi-J asymmetric causality relationship between stock market returns and gold market returns for five of the most affected countries between January 02, 2020 and December 31, 2020. The results show that because of the demand for liquidity, the atmosphere of panic, and the perception of gold as a safe haven, the causal relationship is not strong for each country.

Keywords

Covid-19 Stock Exchange Markets

References

  • Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A., & Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 100326.
  • Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. arXiv preprint arXiv:2003.04005., Accessed 02 April 2020.
  • Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) – An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 100341. doi:10.1016/j.jbef.2020.100341
There are 3 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Onur Oğuz 0000-0001-5492-0038

Özge Korkmaz 0000-0001-9275-1271

Publication Date April 27, 2022
Submission Date December 19, 2021
Published in Issue Year 2022 Issue: 117

Cite

APA Oğuz, O., & Korkmaz, Ö. (2022). The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye Ve Finans Yazıları(117), 77-100. https://doi.org/10.33203/mfy.1038564
AMA Oğuz O, Korkmaz Ö. The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları. April 2022;(117):77-100. doi:10.33203/mfy.1038564
Chicago Oğuz, Onur, and Özge Korkmaz. “The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”. Maliye Ve Finans Yazıları, no. 117 (April 2022): 77-100. https://doi.org/10.33203/mfy.1038564.
EndNote Oğuz O, Korkmaz Ö (April 1, 2022) The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları 117 77–100.
IEEE O. Oğuz and Ö. Korkmaz, “The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”, Maliye ve Finans Yazıları, no. 117, pp. 77–100, April 2022, doi: 10.33203/mfy.1038564.
ISNAD Oğuz, Onur - Korkmaz, Özge. “The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”. Maliye ve Finans Yazıları 117 (April 2022), 77-100. https://doi.org/10.33203/mfy.1038564.
JAMA Oğuz O, Korkmaz Ö. The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları. 2022;:77–100.
MLA Oğuz, Onur and Özge Korkmaz. “The Relationship Between Stock Market Index Returns and Gold Returns During the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test”. Maliye Ve Finans Yazıları, no. 117, 2022, pp. 77-100, doi:10.33203/mfy.1038564.
Vancouver Oğuz O, Korkmaz Ö. The Relationship Between Stock Market Index Returns and Gold Returns during the First Year of the Coronavirus Pandemic: An Asymmetric Causality Test. Maliye ve Finans Yazıları. 2022(117):77-100.
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The scope of the Journal of Finance Letters consists of studies in the fields of economics, public finance, finance, and banking.