Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
คุณสมบัติความเป็นทรัพย์สินปลอดภัยของทองคำ ต่อพอร์ตการลุงทุนในสินทรัพย์ที่หลากหลาย ในช่วงการระบาดของ Covid-19
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Vimut Vanitcharearnthum
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.96
Abstract
This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset over the pandemic period. For short run relationship during the COVID-19, the result from impulse response shows gold to be a strong safe-haven asset only against traditional asset class such as equity, fixed income, and real estate, but not for the alternative asset class like BITCOIN as the impact from the shock of S&P500, UST and NAREIT to gold are in the opposite direction compared to pre-pandemic.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Thamthonsiri, Naratporn, "Safe-haven property of gold toward multi asset portfolio during COVID-19 pandemic" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7712.
https://digital.car.chula.ac.th/chulaetd/7712