タニザキ　ヒサシ   Hisashi Tanizaki   谷崎　久志    所属   追手門学院大学  理工学部 数理・データサイエンス学科    職種   教授
言語種別	英語
発行・発表の年月	2023/10/10
形態種別	外国学術誌（その他）
査読	査読あり
標題	The response of gold to the COVID-19 pandemic
執筆形態	共著・編著（代表編著を除く）
掲載誌名	Studies in Economics and Finance
掲載区分	国外
出版社・発行元	Emerald
巻・号・頁	40(5),pp.859-877
担当区分	最終著者
著者・共著者	Zhaoying Lu,Hisashi Tanizaki
概要	Purpose This study aims to investigate how the gold return and its volatility respond to the COVID-19 pandemic. Design/methodology/approach Stochastic volatility (SV) models are conducted to examine the response of gold to the number of new confirmed cases and deaths. Findings The results indicate that an increase in the change rate of the number of COVID-19 infections or fatalities leads to heightened volatility in gold prices. Moreover, the results suggest that gold volatility is more sensitive to the impacts from high-income countries than by those from middle- and low-income countries. In addition, the asymmetric effect is detected in the gold price volatility, which is contrary to the typical asymmetric effect seen in the stock market. Furthermore, the results remain robust after accounting for the US dollar and the volatility index in relation to gold returns. Practical implications This study presents whether and to what extent gold is incorporated in the information related to the number of COVID-19 cases and deaths. Originality/value This study augments the existing literature by exploring how the number of COVID-19 infections and fatalities influences gold prices. In addition, it examines the day-of-the-week and asymmetric effects that may contribute to the volatility of gold prices. To the best of the authors’ knowledge, the evolution of gold has not yet been investigated using SV models.
DOI	10.1108/sef-05-2023-0258
ISSN	1086-7376/1086-7376
PermalinkURL	https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0258/full/xml
researchmap用URL	https://www.emerald.com/insight/content/doi/10.1108/SEF-05-2023-0258/full/html