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Article

Gold against Asian Stock Markets during the COVID-19 Outbreak

1
Air University School of Management, Air University, Islamabad 44000, Pakistan
2
Adnan Kassar School of Business, Lebanese American University, Beirut P.O. Box 13-5053, Lebanon
3
USEK Business School, Holy Spirit University of Kaslik, Jounieh P.O. Box 446, Lebanon
*
Author to whom correspondence should be addressed.
Academic Editor: Kentaka Aruga
J. Risk Financial Manag. 2021, 14(4), 186; https://0-doi-org.brum.beds.ac.uk/10.3390/jrfm14040186
Received: 17 February 2021 / Revised: 3 March 2021 / Accepted: 5 March 2021 / Published: 20 April 2021
(This article belongs to the Special Issue The Impact of COVID-19 on Economy, Energy, and Environment)
This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a strong safe-haven in China, Indonesia, Singapore, and Vietnam, and a weak safe-haven in Pakistan and Thailand. The optimal weights of all stock-gold portfolios are lower during the COVID-19 sub-period than the pre COVID-19 sub-period, suggesting that portfolio investors should increase their investment in gold during the COVID-19 sub-period. The hedging effectiveness for most Asian stock markets is higher during the COVID-19 sub-period. Further analyses show that the hedge portfolio returns in many cases are mostly driven by gold implied volatility and inflation expectations in both sub-periods. Our findings have useful implications for market participants holding investments in Asian stocks during stressful periods. View Full-Text
Keywords: gold; Asian stock indices; COVID-19 outbreak; hedge; safe-haven; hedging effectiveness gold; Asian stock indices; COVID-19 outbreak; hedge; safe-haven; hedging effectiveness
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MDPI and ACS Style

Yousaf, I.; Bouri, E.; Ali, S.; Azoury, N. Gold against Asian Stock Markets during the COVID-19 Outbreak. J. Risk Financial Manag. 2021, 14, 186. https://0-doi-org.brum.beds.ac.uk/10.3390/jrfm14040186

AMA Style

Yousaf I, Bouri E, Ali S, Azoury N. Gold against Asian Stock Markets during the COVID-19 Outbreak. Journal of Risk and Financial Management. 2021; 14(4):186. https://0-doi-org.brum.beds.ac.uk/10.3390/jrfm14040186

Chicago/Turabian Style

Yousaf, Imran, Elie Bouri, Shoaib Ali, and Nehme Azoury. 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak" Journal of Risk and Financial Management 14, no. 4: 186. https://0-doi-org.brum.beds.ac.uk/10.3390/jrfm14040186

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