Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Baur, Dirk G.; Lucey, Brian M.

doi:10.1111/j.1540-6288.2010.00244.x

Cited by 1,746 publications

(748 citation statements)

References 18 publications

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“…Baur and McDermott (2010) investigate the role of gold in the global financial system between the period from 1979 to 2009 and conclude that at times of crisis gold is both a strong safe haven and a hedge for most developed markets, especially the European and the US markets, but not in Japan, Canada, and Australia. In another study, Baur and Lucey (2010) come up with the same results in German, UK and US markets on a data sample ranging from 1995 to 2005. Arouri et al (2012) study gold, silver, palladium and platinum markets and adduce that long memory can explain the conditional volatilities of these commodities far better than structural breaks as the conditional returns and volatilities exhibit a long-range dependence.…”

Section: Literature Reviewmentioning

confidence: 54%

Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE)

Gencer¹,

Musoglu²

2014

International Journal of Financial Research

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In this study, we model the volatility dynamics of Istanbul Gold Exchange with several GARCH models, which incorporate asymmetry and long-range dependence in the conditional volatility. We use daily spot prices of the gold exchange from January 4, 2006 to November 20, 2013. In addition, forecasting performances of the models are evaluated based on three commonly used measures. We examine the out-of-sample predictions for 1, 5 and 20-days ahead as the portfolio managers usually focus on longer horizons (20-days) as well as relatively short horizons (1 and 5-days ahead). The forecasting results point out the superior performance of EGARCH and CGARCH models. Hence our results provide useful information for investors and portfolio managers to consider asymmetric reactions to the news and long-range dependence property of the gold market in Turkey.

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Section: Literature Reviewmentioning

confidence: 54%

Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE)

Gencer¹,

Musoglu²

2014

International Journal of Financial Research

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“…Baur and Lucey (2010) were the first to formulate empirically testable definitions for a hedge and a safe haven with regard to financial assets such as stocks. Following their definitions, a hedge (safe haven) is an asset that is uncorrelated (negatively correlated) with another asset or portfolio on average (only in times of market stress or turmoil) (Beckmann et al 2015) and reported that gold was a safe haven for stocks in the US, the UK and Germany.…”

Section: Related Literaturementioning

confidence: 99%

Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?

Chen

Wang

2017

IJFS

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This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our main objective was to examine the time-varying correlations between gold and stock and to check the effectiveness of gold as a hedge or a safe haven for stocks. Results showed that: (1) the dynamic conditional correlations switched between positive and negative values over the periods under study; (2) due to the increasing investment demand of gold, the hedging effect of gold on China's stock market has strengthened remarkably. Gold acts as a safe haven for only the latest two of the five bear markets analyzed (12 June 2015-26 August 2015 and 22 December 2015-29 February 2016); and (3) for non-bear markets, gold does not offer good risk hedging.

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“…The empirical analysis by Baur and Lucey (2010), shows that gold is a safe haven for stocks in U.S., U.K., and Germany as earlier studies shows, but not a safe haven to bonds. After they done a subsample analysis into bull and bear market regime, the interesting finding was that gold is not a safe haven for stocks at all times, but only after extreme negative stock market shocks, by finding gold estimates highly significant in bear market in all three markets analyzed.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In recent study by Baur and Lucey (2010) tested whether gold is safe haven asset, not hedge or diversifier asset. According to authors, they are not aware of any study actually testing whether gold is a safe haven asset.…”

Section: Literature Reviewmentioning

confidence: 99%

Does Gold Shine in the Portfolio of a Kuwaiti Investor?

AlKulaib¹,

Almudhaf²

2011

IJEF

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Gold is known to be a stable investment in times of political and economic uncertainty. Our article is the first to examine the diversification benefits of including gold in the portfolio of a Kuwaiti investor. Our empirical results for the period Jan 2000 to May 2011 show that Kuwaiti investors will gain benefits by adding gold to their portfolios. The results of the Johansen cointegration tests show that gold and KSE index are not related in the long run. In addition, we find that gold has a weak and insignificant correlation with KSE index.

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Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Cited by 1,746 publications

References 18 publications

Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE)

Volatility Modeling and Forecasting of Istanbul Gold Exchange (IGE)

Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?

Does Gold Shine in the Portfolio of a Kuwaiti Investor?

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