The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk

Triki, M.; Maatoug, Abderrazek Ben

doi:10.1016/j.resourpol.2020.101872

Cited by 80 publications

(29 citation statements)

References 49 publications

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“…More precisely, we find a negative correlation between the gold price and the MSCI ACWI conventional index over the crisis period. Our results confirm Triki and Ben Maatoug's (2020) conclusion, which suggests that gold prompts US investors to adopt active strategies based on long-term persistence.…”

Section: Empirical Results and Discussionsupporting

confidence: 88%

Are Islamic indexes, Bitcoin and gold, still “safe-haven” assets during the COVID-19 pandemic crisis?

Bahloul¹,

Mroua²,

Naifar³

2021

IMEFM

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Purpose This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and Bitcoin as a hedge or safe-haven asset for the world conventional stock market over the period from April 30, 2015 to March 27, 2020. Design/methodology/approach In this paper, the authors re-evaluate the hedge and safe haven properties of Islamic indexes, gold and Bitcoin following Baur and Lucey’s (2010) and Baur and McDermott’s (2010) methodology. Findings Empirical results show that the Islamic index is not a hedge or a safe haven asset for the world conventional stock market during the recent coronavirus crisis period. Different from the whole period, the authors find that gold is a strong hedge but only a weak safe or is not a safe haven during the coronavirus sub-period. Bitcoin reports distinctive properties, as it acts as a weak hedge and not a safe-haven asset. Originality/value This paper is the first study that investigates whether the global Islamic index still acts as hedges or “safe-haven” assets during the new COVID-19 crisis period. The results can help investors make informed decisions when adding cryptocurrencies and Islamic indexes to their portfolios during the coronavirus crisis.

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Section: Empirical Results and Discussionsupporting

confidence: 88%

Are Islamic indexes, Bitcoin and gold, still “safe-haven” assets during the COVID-19 pandemic crisis?

Bahloul¹,

Mroua²,

Naifar³

2021

IMEFM

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“…However, under IMF2, recession to expansion produced a large displacement change. When GPR is relatively strong and the sequence is under high frequency (E2), wheat is the center of risk spillover, followed by orange juice and then sliver, which is different from the risk aversion properties of oil and gold in the common perception [80][81][82]. However, in the period of geopolitical risk declining (R2), the risk spillover of energy commodities returned upward.…”

Section: Smooth-transition Vector Autoregression (Stvar)mentioning

confidence: 98%

The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD‐Based Network Topology Approach

Ding¹,

Zhang²

2021

Complexity

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Since the financialization of commodities, portfolio investments have become an important tool for investors to diversify risks. However, due to the nonlinear fluctuations brought about by extreme events, investors face more difficulties in the choice of risk portfolio. We adopt empirical mode decomposition and STVAR model, along with the basis data of optimized original sample interval. In addition, we retain the mature research of multiscale systemic risk under frequency and divide the dimension of systemic risk into two states. When frequency is combined with states, the risk spillover center undergoes subversive changes, particularly in the longest term, and metals become the risk spillover center, substituting the energy commodity, on the condition that the compositions of extreme value add persuasive power to the perspective of long term. We proposed that the joint fluctuation of agricultural commodities and energy commodities makes the former become another important risk spillover point. For investors, holding period and portfolio both need to be considered.

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“…Conventionally, as the saying of "gone with the gold," gold is regarded as an effective instrument protecting stock market investment from a decline [8][9][10][11]. For example, Triki and Ben Maatoug [12] analyzed the relationship between gold prices returns and the S&P500 stock index during the 1985 to 2018 period using the DCC MV-GARCH model to test the hedging role of gold and found that gold is a good diversifier and safe haven, particularly during the great tension. Additionally, He et al [13] stated that gold does act as a good diversifier in the US and the UK stock indices by applying the basic capital asset pricing model (CAPM).…”

Section: Introductionmentioning

confidence: 99%

“…e different color areas define the accumulation of net total directional spillover. e net spillover of returns plotted here is computed by equation(12), which is defined as the difference in total directional connectedness to others and from others. All abbreviations are as follows: bitcoin, gold, and commodities indices (commodities); the world stock index (world); the developed stock index (developed); and the emerging stock index (emerging).…”

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confidence: 99%

On the Safe‐Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

Wang

Wei

Wang

et al. 2022

Discrete Dynamics in Nature and Society

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Stock market is susceptible to various external shocks for its tight dependence on economic fundamentals, financial speculation, and fragile emotions in massive traders, making it a very risky market for investors. In this paper, we aim to identify whether commonly recognized safe-haven assets, that is, bitcoin, gold, and commodities, can provide investors with effective hedging utility in international stock markets, especially during periods of extreme market turbulence. By using the spillover index method based on the TVP-VAR model, we find that firstly, bitcoin, gold, and commodities can only offer weak hedging effects on stock markets. Furthermore, their abilities to act as a safe haven are ranked as: commodities > gold > bitcoin. Secondly, in general, we have observed the increasing hedging ability of these safe-haven assets in times of extreme market turmoil. Thirdly, among international stock and safe-haven asset markets, the world and the developed stock markets act as the net spillover transmitters, while bitcoin, gold, and commodities are the net recipients. Lastly, the total spillover effects are time-varying and increase significantly after the outbreak of extreme events.

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The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk

Cited by 80 publications

References 49 publications

Are Islamic indexes, Bitcoin and gold, still “safe-haven” assets during the COVID-19 pandemic crisis?

Are Islamic indexes, Bitcoin and gold, still “safe-haven” assets during the COVID-19 pandemic crisis?

The Impact of Geopolitical Risk on Systemic Risk Spillover in Commodity Market: An EMD‐Based Network Topology Approach

On the Safe‐Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

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