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The impact of COVID-19 induced panic on the return and volatility of precious metals

Abstract : We use TVP-VAR approach to analyze the connectedness between the COVID-19 induced global panic index (GPI) and precious metals return and volatility. We find evidence of positive connectedness between the GPI and precious metals with GPI being a shock transmitter and precious metals, especially gold, being net receivers. While silver shows the highest resistance to shocks, platinum and palladium present a time varying transmission pattern. Our results refute the safe-haven property of precious metals during the COVID-19 outbreak, with the exception of silver.
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https://hal-rennes-sb.archives-ouvertes.fr/hal-03330197
Contributor : Steven Gouin <>
Submitted on : Tuesday, August 31, 2021 - 3:51:37 PM
Last modification on : Tuesday, August 31, 2021 - 3:51:37 PM

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Zaghum Umar, Saqib Aziz, Dima Tawil. The impact of COVID-19 induced panic on the return and volatility of precious metals. Journal of Behavioral and Experimental Finance, 2021, 31, pp.100525. ⟨10.1016/j.jbef.2021.100525⟩. ⟨hal-03330197⟩

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