DID GOLD, BITCOIN AND FOREX AS SAFE HAVEN ASSET FOR SOUTH EAST ASIA INDEX DURING COVID 19

Journal of Applied Finance & Accounting Pub Date : 2022-12-15 DOI:10.21512/jafa.v9i2.9095

Yen Sun, V. Natasha, Edward Akil Tenggono

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Abstract

The COVID-19 pandemic and the bearish market have led investors to find a safe-haven asset during this financial turbulence. Gold, US Dollar, and Bitcoin traditionally could be safe-haven assets in previous financial crises. However, safe-haven assets are mainly different during each market crash. Therefore, this paper aims to examine gold, US dollars, and Bitcoin as safe-haven assets during the COVID-19 market turmoil in several South East Asian countries such as Indonesia, Malaysia, Singapore, and the Philippines. All variables use daily data time series from January 2020 - September 2020. This study will conduct an empirical analysis using Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Our result shows that during the COVID-19 pandemic, US Dollar could act as a safe-haven asset in Indonesia, Malaysia, and the Philippines. It implies that when the condition is uncertain during a pandemic, many investors switch their investments to US dollars in those three countries. On the other hand, gold and bitcoin are not safe-haven assets, but they could only act as hedging for several countries in South-East Asia.

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在2019冠状病毒病期间，黄金、比特币和外汇是否成为东南亚指数的避险资产

新冠肺炎疫情和看跌市场促使投资者在这场金融动荡中寻找避险资产。在之前的金融危机中，黄金、美元和比特币传统上可能是避险资产。然而，在每次市场崩溃期间，避险资产主要是不同的。因此，本文旨在研究黄金、美元和比特币在印度尼西亚、马来西亚、新加坡和菲律宾等几个东南亚国家新冠肺炎市场动荡期间作为避险资产的情况。所有变量均使用2020年1月至2020年9月的每日数据时间序列。本研究将使用广义自回归条件异方差(GARCH)进行实证分析。我们的研究结果表明，在2019冠状病毒病大流行期间，美元可以作为印度尼西亚、马来西亚和菲律宾的避险资产。这意味着，在大流行期间，当情况不确定时，许多投资者在这三个国家将投资转向美元。另一方面，黄金和比特币不是避险资产，但它们只能作为东南亚几个国家的对冲工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Journal of Applied Finance & Accounting

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