Is gold a hedge and safe haven for stock market?

Ke Chen · Meng Wang

53 citations0/0 files storedApplied Economics Letters

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

Abstract

The paper aims to examine the hedge and safe haven properties of gold relative to Dow Jones stock industry indices using quantile-GARCH approach. Splitting the sample period into two sub-periods, our results show that the hedge and safe haven properties of gold have a changing nature. In a whole period (1980–2017), gold is not a hedge for Oil&Gas, Basic materials and Utilities; gold is a safe haven for almost all sectors except Technology. While in sub-period I (1980–1995) gold is not a hedge for Oil&Gas but a strong safe haven for all sectors. In sub-period II (1996–2017) gold is not a hedge for Oil&Gas, Basic materials and Utilities, also not a safe haven for Oil&Gas, Basic materials, Utilities, Telecom and Technology.

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References

2010Is gold a safe haven? International evidence 2012Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH 2014Does gold act as a hedge or a safe haven for stocks? A smooth transition approach 2016Dynamic linkages among oil price, gold price, exchange rate, and stock market in India 2014World gold prices and stock returns in China: Insights for hedging and diversification strategies 2017Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices 2015Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests

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