Which is the Safe Haven for Emerging Stock Markets, Gold or the US Dollar?

Wen, Xiaoqian; Cheng, Hua

doi:10.2139/ssrn.3000134

Cited by 16 publications

(25 citation statements)

References 10 publications

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“…This result is not surprising because the accelerated financialization of commodity markets ( Huynh et al., 2020b ), including the gold market, has significantly increased investments in gold, making the gold asset behave more and more like stocks. Our findings are contrary to Wen and Cheng (2018) as they argued that safe haven properties of gold for emerging stock markets exist. However, as the results suggest, gold is not the strongest safe-haven asset against the Thai stock market.…”

Section: Resultscontrasting

confidence: 99%

“…(2017) argued that gold does not act as a safe-haven for the BRIC countries. However, Wen and Cheng (2018) , argued that the safe-haven property of gold prevails. They investigated the safe-haven properties of gold and US dollar against emerging economies 1 stocks by employing Copulas approach to measure low-high tail dependence between the markets and downside portfolio risk.…”

Section: Literature Reviewmentioning

confidence: 99%

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Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰

Thampanya

Nasir

Huynh

2020

Technological Forecasting and Social Change

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Highlights The effects of gold on stock market are asymmetric in most of the cases. Cryptocurrency does not affect stock market significantly. Correlations between stock/gold and stock/cryptocurrency pairs are found to be positive in most cases. Neither gold nor cryptocurrency acts as a good instrument for hedging stock market.

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Section: Resultscontrasting

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰

Thampanya

Nasir

Huynh

2020

Technological Forecasting and Social Change

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“…But more and more studies have put forward different views. Wen and Cheng [10] believe that gold can be used as a safe asset in emerging markets such as ailand. In contrast, the US dollar has better risk reduction capabilities.…”

Section: Introductionmentioning

confidence: 99%

Dynamic Cross‐Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets

Zhang

2021

Complexity

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This paper examines the spillover effect between bitcoin, gold, crude oil, and major stock markets by using the MSV model with dynamic correlation and Granger causality. The empirical results of the DC-GC-MSV model are logically correct and convergent. The DIC test result has proved that the DC-GC-MSV model is better and more accurate. Bitcoin has no significant Granger causality spillover effect than other assets. As a safe haven product for stock assets, gold price has one-way spillover effect from stock market volatility. Moreover, crude oil has the highest correlation with the stock market. In the recent COVID-19 epidemic and the sluggish economic environment, investors need to consider a balanced asset allocation among low-correlation assets, medium-correlation assets, and high-correlation assets to reduce risks.

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“…The impact of gold, oil price, and their volatilities on stock prices was explored in recent studies such as Raza et al (2016), Jain and Biswal (2016), Arfaoui and Rejeb (2017), Chen and Wang (2017), Wen and Cheng (2018), and Coronado et al (2018). The results in Raza et al (2016) concluded that gold price has a significant and positive impact on the stock prices of emerging markets in BRIC and ASEAN while oil price has a significant and negative impact on the stock prices of these markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Commodity Prices and the Stock Market in Thailand

Aumeboonsuke¹

2020

IJEEP

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This study aims to investigate the association between Thai stock market and the commodity markets using 20-year historical monthly data from January 2000 to January 2020. Commodity prices used in the research consist of the prices of crude oil, natural gas, liquified natural gas, commodity agricultural raw materials, and gold. The traditional VAR is used in analyzing the relations between the commodity prices and stock index. The findings show how changes in each commodity prices had significant influence on the stock market. Both evidences of a long-run and a short-run impacts are examined to determine if the past values of changes in the prices of energy, agricultural raw materials, and gold are important in predicting the developments in the stock market or not. The results from the study provide the evidence that Thai stock market is responsive to energy-related, precious metal, and commodity-related indicators.

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Which is the Safe Haven for Emerging Stock Markets, Gold or the US Dollar?

Cited by 16 publications

References 10 publications

Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰

Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰

Dynamic Cross‐Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets

Commodity Prices and the Stock Market in Thailand

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