Download pdf
Safe Haven vs. Non-Safe Haven Assets An Analysis of Gold and Fuel Oil Futures During Pre and Post COVID Periods
- 1 SILC Business School, Shanghai University
* Author to whom correspondence should be addressed.
Abstract
The COVID-19 pandemic has triggered worldwide recessions, highlighting the significance of the performance of various asset classes during a crisis. This study examines the performance of gold and fuel oil futures pre- and post-pandemic. The research employs data from the CSMAR database (2019-2021) for trend analysis, correlation analysis, and volatility analysis utilizing Python. The results revealed that gold prices steadily rose while volatility decreased during the pandemic, illustrating the resilience of safe-haven assets. The price of fuel oil exhibited considerable fluctuation as energy usage declined, later rebounding with the economic recovery. During the outbreak, the correlation between gold and fuel oil decreased, showing the unique causes affecting each commodity. Research indicates that integrating safe-haven assets with industrial assets during a crisis enhances risk diversification; gold serves as a hedge against uncertainty, and fuel oil advantages from economic recovery. This study offers pragmatic suggestions for investors regarding asset allocation in turbulent markets.
Keywords
Gold futures, Fuel oil futures, COVID-19 pandemic, Python, Safe-Haven assets
[1]. Baur, D. G., & McDermott, T. K. (2020). Is gold a safe haven? International evidence. Journal of Banking & Finance, 119, 1886-1898.
[2]. Salimi, M., & Amidpour, M. (2022). The Impact of Energy Transition on the Geopolitical Importance of Oil-Exporting Countries. World (Basel), 3(3), 607-618.
[3]. Mensi, W., Reboledo, J. C., & Ugolini, A. (2021). Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic. Resources Policy, 73, 102217.
[4]. Nicolau, M., & Palomba, G. (2015). Dynamic relationships between spot and futures prices: The case of energy and gold commodities. Resources Policy, 45, 130-143.
[5]. Ji, Q., Bouri, E., & Roubaud, D. (2018). Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities. International Review of Financial Analysis, 57, 1-12.
[6]. Pandit, S., & Luo, X. (2024). A novel prediction model to evaluate the dynamic interrelationship between gold and crude oil. International Journal of Data Science and Analytics, 12(2), 89-106.
[7]. Maghyereh, A. I., Awartani, B., & Tziogkidis, P. (2017). Volatility spillovers and cross-hedging between gold, oil, and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics, 68, 440-453.
[8]. CSMAR Database. (2024). China Stock Market & Accounting Research Database. Southeast University Library.
[9]. Adhithya Srija, A., Kedareswari, K., Sahithya, P., Aswini, N., & Vuyyuru, V. A. (2024). Unveiling the Significance of Data Cleaning: A Review of its Impact on Downstream Tasks in Machine Learning and Analytics. Journal of Emerging Technologies and Innovative Research, 11(7), b165-b171.
[10]. Madani, M. A., & Ftiti, Z. (2021). Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach. Annals of Operations Research, 309(1), 123-145.
[11]. Pham, H., Wei, X., & Zhou, C. (2022). Portfolio diversification and model uncertainty: A robust dynamic mean-variance approach. Mathematical Finance, 32(1), 349-404.
[12]. International Energy Agency. (2021). Global Energy Review 2021: Economic impacts of Covid-19. IEA. https://www.iea.org/reports/global-energy-review-2021/economic-impacts-of-covid-19.
[13]. Armeanu, D. S., Gherghina, S. C., Andrei, J. V., & Joldes, C. C. (2022). Modeling the impact of the COVID-19 outbreak on environment, health sector and energy market. Sustainable Development, 30(5), 1387-1416.
[14]. Naeem, M. A., Qureshi, F., Farid, S., Tiwari, A. K., & Elheddad, M. (2024). Time-frequency information transmission among financial markets: Evidence from implied volatility. Annals of Operations Research, 334(1-3), 701-729.
[15]. Balcilar, M., Ozdemir, Z. A., & Ozdemir, H. (2021). Dynamic return and volatility spillovers among S&P 500, crude oil, and gold. International Journal of Finance and Economics, 26(1), 153-170.
[16]. Fousekis, P. (2023). Contemporaneous dependence between euro, crude oil, and gold returns and their respective implied volatility changes: Evidence from the local Gaussian correlation approach. Studies in Economics and Finance, 40(5), 795-813.
[17]. Wen, F., Tong, X., & Ren, X. (2022). Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic? International Review of Financial Analysis, 81, 102121.
[18]. Naeem, M. A., Rabbani, R., Karim, M., & Billah, S. M. (2023). Religion vs ethics: Hedge and safe haven properties of Sukuk and green bonds for stock markets pre- and during COVID-19. International Journal of Islamic and Middle Eastern Finance and Management, 16(2), 234-252.
Cite this article
Wang,Z. (2025). Safe Haven vs. Non-Safe Haven Assets An Analysis of Gold and Fuel Oil Futures During Pre and Post COVID Periods. Advances in Economics, Management and Political Sciences,172,49-54.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
Disclaimer/Publisher's Note
The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of EWA Publishing and/or the editor(s). EWA Publishing and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.
About volume
Volume title: Proceedings of the 4th International Conference on Business and Policy Studies
© 2024 by the author(s). Licensee EWA Publishing, Oxford, UK. This article is an open access article distributed under the terms and
conditions of the Creative Commons Attribution (CC BY) license. Authors who
publish this series agree to the following terms:
1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons
Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this
series.
2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published
version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial
publication in this series.
3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and
during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See
Open access policy for details).