The performance of gold as a safe haven against S&P 500 during COVID crisis

završni rad

• Autor: Filip Paić
• Mentor: Josip Arnerić (mentor)
• Ustanova koja je dodijelila akademski / stručni stupanj: Sveučilište u Zagrebu; Ekonomski fakultet; Zagreb
• Datum i država obrane: 2023-07-13, Hrvatska
• Znanstveno / umjetničko područje, polje i grana: DRUŠTVENE ZNANOSTI; Ekonomija

Sažetak

The global pandemic of COVID-19 had profound negative consequences on overall economy and caused downturns of equity markets worldwide. In such turbulent surroundings, plagued with uncertainty, investors have focused their attention to safe haven assets in preserving their capital. In that context the main objective is to re-evaluate whether gold still possess the role of a safe haven investment in such an unprecedented times like COVID-19 as well as Ukrainian war, which differ from previous crisis we have seen in for example 2008 and 1987. For the same reason rolling regression between the gold and S&P 500 index was employed due to time-varying properties of daily returns, with optimal selection of window size. Results indicate that negative slope coefficients, which coincide with COVID-19 pandemic as well as onset of Ukrainian war, are statistically significant. Those findings offer empirical evidence that gold still holds a strong position in investors’ minds as a safe haven, even though there is no universal safe have, i.e. the safe haven property of a different assets varies over time and it depends on the characteristics of the specific market and type of financial turmoil.

• Ključne riječi: crisis; covid; gold; S&P500; rolling regression; safe haven
• Jezik: hrvatski
• URN:NBN: urn:nbn:hr:148:821492
• Studijski program: Naziv: Bachelor Degree in Business; Vrsta studija: sveučilišni; Stupanj studija: preddiplomski; Akademski / stručni naziv: sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije (univ.bacc.oec.)
• Vrsta resursa: Tekst
• Način izrade datoteke: Izvorno digitalna
• Prava pristupa: Pristup svim korisnicima iz sustava znanosti i visokog obrazovanja RH
• Datum i vrijeme pohrane: 2023-07-14 16:18:04