Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

คุณสมบัติความเป็นทรัพย์สินปลอดภัยของทองคำ ต่อพอร์ตการลุงทุนในสินทรัพย์ที่หลากหลาย ในช่วงการระบาดของ Covid-19

Year (A.D.)


Document Type

Independent Study

First Advisor

Vimut Vanitcharearnthum


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





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.



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