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:: Volume 10, Issue 40 (quarterly journal of fiscal and economic policies 2023) ::
qjfep 2023, 10(40): 133-154 Back to browse issues page
Assessing the role of the Gold and US dollar as a safe haven and risk hedge of the Iran stock market during Covid-19 pandemic and earlier
Amirmohammad Naeimzadeh , Somayeh Mousavi * , Najmeh Neshat
Meybod university
Abstract:   (675 Views)
Considering the Tehran stock exchange’s status after the Covid-19 pandemic; it is essential to assess the role of different assets as a risk hedge and safe haven of the stock market during the pandemic. In this study, the trend of the gold and US dollar was evaluated and compared using EGARCH and quantile regression methods before (2018/6/19-2020/2/19) and after Covid-19 (2020/2/23-2021/10/12). According to the numerical results, although the Gold and US dollar performed very well as a safe haven for the stock market before Covid-19, they are not good safe havens in the Covid-19 pandemic. On the other hand, Gold has a positive relation with the stock market when the stock market collapses in the Covid-19 pandemic. Therefore, the gold is not an appropriate asset to hedge the risk of the stock market during the Covid-19 pandemic. However, the US dollar is better for stock market risk hedging in this period. Our results have revealed that the gold was a hedge for the stock market before Covid-19 pandemic. In this period, Gold had a negative relationship with the stock market in all conditions (except quantile 25% and 50%). Also, the US dollar could hedge the risk of the stock market before the Covid-19 pandemic in bearish, medium and bullish markets.
Keywords: Gold, US dollar, Iran stock market, safe haven, risk hedging, covid-19
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Type of Study: Research | Subject: Special
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Naeimzadeh A, Mousavi S, Neshat N. Assessing the role of the Gold and US dollar as a safe haven and risk hedge of the Iran stock market during Covid-19 pandemic and earlier. qjfep 2023; 10 (40) :133-154
URL: http://qjfep.ir/article-1-1259-en.html


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Volume 10, Issue 40 (quarterly journal of fiscal and economic policies 2023) Back to browse issues page
فصلنامه سیاستهای مالی و اقتصادی Quarterly Journal of Fiscal and Economic Policies
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