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

คุณสมบัติความเป็นทรัพย์สินปลอดภัยของทองคำ ต่อพอร์ตการลงทุนในสินทรัพย์ที่หลากหลาย ในช่วงการระบาดของ Covid-19

Name: Naratporn Thamthonsiri

ThaSH: Investments

ThaSH: Gold

ThaSH: Investment analysis

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.

Chulalongkorn University. Office of Academic Resources

Address: BANGKOK

Email: cuir@car.chula.ac.th

Name: Vimut Vanitcharearnthum

Role: advisor

Created: 2021

Modified: 2023-10-04

Issued: 2023-10-04

วิทยานิพนธ์/Thesis

application/pdf

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Chulalongkorn University

©copyrights Chulalongkorn University

ลำดับที่.	ชื่อแฟ้มข้อมูล	ขนาดแฟ้มข้อมูล	จำนวนเข้าถึง	วัน-เวลาเข้าถึงล่าสุด
1	6284033326.pdf	1.14 MB

ใช้เวลา

0.037447 วินาที