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

Zaghum Umar (1) , Saqib Aziz (2) , Dima Tawil (2)

1 Zayed University
2 ESC [Rennes] - ESC Rennes School of Business

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.

Mots clés: COVID-19; Global panic index; Precious metals; TVP-VAR method

Domaines: Économie et finance quantitative [q-fin]

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⟩