Contagious diseases and gold : over 700 years of evidence from quantile regressions

Bouri, Elie; Gupta, Rangan; Nel, Jacobus; Shiba, Sisa

dc.contributor.author	Bouri, Elie
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Nel, Jacobus
dc.contributor.author	Shiba, Sisa
dc.date.accessioned	2023-11-07T08:50:52Z
dc.date.issued	2022-12
dc.description	DATA AVAILABILITY : Data will be made available on request.	en_US
dc.description.abstract	We investigate the effect of the probability of fatality due to contagious diseases on real gold returns over the period 1258–2020 using a predictive quantile regression model, which is justified by the features of non-normality, nonlinearity, and structural breaks in the dataset involving real gold returns and the probability of fatality. We show that real gold returns hedge the probability of fatality due to contagious diseases primarily when the gold market is bullish. However, the hedging ability is insignificant when the gold market is bearish. These results are important for investors seeking refuge in gold during rare disaster events.	en_US
dc.description.department	Economics	en_US
dc.description.embargo	2024-09-14
dc.description.librarian	hj2023	en_US
dc.description.uri	https://www.elsevier.com/locate/frl	en_US
dc.identifier.citation	Bouri, E., Gupta, R., Nel, J. & Shiba, S. 2022, 'Contagious diseases and gold: over 700 years of evidence from quantile regressions', Finance Research Letters, vol. 50, art. 103266, pp. 1-8, doi : 10.1016/j.frl.2022.103266.	en_US
dc.identifier.issn	1544-6123 (print)
dc.identifier.issn	1544-6131 (online)
dc.identifier.other	10.1016/j.frl.2022.103266
dc.identifier.uri	http://hdl.handle.net/2263/93176
dc.language.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.rights	© 2022 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 50, art. 103266, pp. 1-8, doi : 10.1016/j.frl.2022.103266.	en_US
dc.subject	Real gold returns	en_US
dc.subject	Contagious diseases	en_US
dc.subject	COVID-19 outbreak	en_US
dc.subject	COVID-19 pandemic	en_US
dc.subject	Coronavirus disease 2019 (COVID-19)	en_US
dc.subject	Probability of fatality	en_US
dc.subject	Predictive quantile regression model	en_US
dc.subject	SDG-08: Decent work and economic growth	en_US
dc.title	Contagious diseases and gold : over 700 years of evidence from quantile regressions	en_US
dc.type	Postprint Article	en_US