Finance

Financial economics

Outbreak

Internal medicine

Business

Virology

Economics

Keynesian economics

Financial crisis

Disease

Safe haven

2019-20 coronavirus outbreak

Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2)

Coronavirus disease 2019 (COVID-19)

Infectious disease (medical specialty)

Monetary economics

Medicine

Financial system

Finance research letters

In this paper, we use a bivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model within the world's dominant financial asset classes— represented by sovereign bonds, commodities, and major exchange rates—to characterize the correlation within the major asset classes among the Global Financial Crisis (GFC) and COVID-19’s 100 days. Our results specify a noteworthy degradation of co-relationship within the asset classes dominant in COVID-19 compared to the GFC, especially when the VIX was at its peak, indicating massive fear among investors. We also find that gold, U.S., UK, and German sovereign bonds are a safe option for investors.

Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets