Is Gold a Safe Haven During a Pandemic? A Case Study of Thailand

  • Budsabawan Maharakkhaka Stamford International University, Thailand
  • Boonyachote Suteerawattananon North-Chiang Mai University, Thailand
  • Suttatt Ramasoot Stamford International University, Thailand
Keywords: Gold Investment, COVID-19, Financial Crisis, Safe Haven, Volatility


The once-in-a-century pandemic that wreaked havoc around the world in the late 2019 and throughout 2020 infected more than three hundred million people and killed over five million. As economic activities virtually came to a halt and financial markets plunged, the sanitary crisis also soon became a source of high uncertainty for investors in search of assets that would preserve their wealth. One such asset long perceived to be a hedge to store value and a safe haven in time of crisis is gold. This current research extends prior studies regarding the property of gold as an all-time flight to safety in Thailand and Southeast Asia. Specifically, it investigates the safe-haven property of gold during the COVID-19 crisis in Thailand using the DCC-MGARCH model. The sample period includes several COVID-19 waves in the country over the period 2020-2021. The findings reveal that stock returns volatility was sensitive to its own shock and to the shock in gold returns volatility during the COVID-19 period. The volatility of stock returns was persistent to both its own previous volatility and to prior volatility of gold returns. The findings, however, do not support the assumption that gold was a safe haven during the COVID-19 crisis period. It is, instead, concluded that the property of gold as a safe haven varies across time. This is possibly attributable to the driving factors behind the current pandemic which differ from those typically found in other situations of financial turmoil. The study has implications in risk management and portfolio diversification.