Is gold a safe haven against equity market investment in emerging and developing countries?

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

“…This finding shows that gold could act as a safe haven for the IDX and KLSE. This finding is also consistent with previous research into the Malaysian capital market's setting, such as by Ibrahim (2010Ibrahim ( , 2012, who found that the gold market surged when faced with consecutive market declines in Malaysia, and this is consistent with Gürgün and Ünalmýs (2014) However, a different result was found in the time-varying conditional correlation of the CSPI's return -silver's return and the KLCI's return-silver's return, which showed that during the global financial crisis of 2008, the conditional correlation of the CSPI's return -silver's return and the KLCI's returnsilver's return tended to move inversely toward the conditional correlation of the CSPI's return -gold's return and the KLCI's returngold's return. During that period, the conditional correlation of the CSPI's return -silver's return and the KLCI's return-silver's return became positively stronger.…”

Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

“…Thuraisamy et al (2013) study the relationship between 14 Asian (including Chinese) equity and commodity futures markets based on gold prices from London. In the same vein, Gürgün and Ünalmis (2014) use daily data from MSCI and Bloomberg to study the safe haven characteristic of gold against the equity markets in emerging and developing countries, including China. However, using gold prices in London converted into Chinese currency is not appropriate for Chinese investors, for whom investments in gold abroad are still under the control of the government (as discussed in the Introduction section).…”

“…study the relationship between gold and inflation in five countries from 2002 to 2013 and find that gold is not a good hedge against inflation in the long term in China. On the other hand, some other authors study the relationship between Chinese stocks and gold, such as Ziaei (2012), Anand and Madhogaria (2012), Thuraisamy et al (2013), Gürgün and Ünalmis (2014) and Arouri et al (2015). However, they do not take into account gold prices from the SGE but those from London converted into Chinese currency.…”

Black swan events and safe havens: The role of gold in globally integrated emerging markets

“…A number of existing studies have shown evidence of the hedging, diversifying and safe haven potential for stocks and bonds (e.g., Baur and McDermott, 2010;Baur and Lucey, 2010;Beckmann et al, 2015;Gürgün and Ünalmış, 2014;Bredin et al, 2015). For instance, Baur and McDermott (2010) investigate the role of gold in the global financial system with a focus on a sample of major developed and emerging markets (BRIC) and reported gold's safe-haven status with respect to stock market movements over the period 1979-2009, except for Australia, Canada and Japan.…”