Is gold a hedge or a safe haven?Evidence from inflation and stock market

Junpeng Dee · Liuling Li · Zheng Zhonghua

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Gold with special nature has always been regarded as a safe asset. This paper examine whether gold serves as a hedge for stock or/and inflation in China mainland market. Employing improved classic methods, and some new methods, such as quantile regression and binary probit model, our empirical results show, for short-term investors, that gold always cannot hedge stock and inflation risk. But it is actually a good hedge for stock or inflation if you would hold gold for a long time. However, it is regrettable that gold is not a safe haven when investors face with stock and inflation risk in china capital market anyway.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2009Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold 1977Asset returns and inflation 2010Is gold a safe haven? International evidence

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