Safe-haven property of gold toward multi asset portfolio during COVID-19 pandemic

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.