Which is the safe haven for emerging stock markets, gold or the US dollar?

Wen, Xiaoqian; Cheng, Hua

doi:10.1016/j.ememar.2017.12.006

Cited by 84 publications

(32 citation statements)

References 42 publications

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“…Low et al (2016) indicate that gold is a safe haven for the Chinese stock market during the global financial crisis of 2007-2009 GFC and 2011 US credit downgrade. Wen and Cheng (2018) show empirically that gold serves as a safe-haven for emerging markets, including China, Malaysia, India, and Thailand. Aftab et al (2019) investigate the safe-haven and hedge properties of gold for Asian equities and report that gold is a diversifier for Asian equity markets, except in South Korea, Thailand, and Singapore.…”

Section: Gold and Stock Marketsmentioning

confidence: 96%

Gold against Asian Stock Markets during the COVID-19 Outbreak

Yousaf

Bouri

Ali

et al. 2021

JRFM

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This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a strong safe-haven in China, Indonesia, Singapore, and Vietnam, and a weak safe-haven in Pakistan and Thailand. The optimal weights of all stock-gold portfolios are lower during the COVID-19 sub-period than the pre COVID-19 sub-period, suggesting that portfolio investors should increase their investment in gold during the COVID-19 sub-period. The hedging effectiveness for most Asian stock markets is higher during the COVID-19 sub-period. Further analyses show that the hedge portfolio returns in many cases are mostly driven by gold implied volatility and inflation expectations in both sub-periods. Our findings have useful implications for market participants holding investments in Asian stocks during stressful periods.

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Section: Gold and Stock Marketsmentioning

confidence: 96%

Gold against Asian Stock Markets during the COVID-19 Outbreak

Yousaf

Bouri

Ali

et al. 2021

JRFM

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“…Nowadays, many investors have considered these emerging markets as the alternative markets for investment, which can provide an excellent opportunity for gaining a higher profit. Although these markets can offer higher gains to investors due to rapid economic growth, they also provide a higher investment risk due to commodity price volatility, economic and financial uncertainty, and an ongoing slowdown in the world economy [1]. This indicates that the Asian emerging stock markets may expose the investors to various risks.…”

Section: Introductionmentioning

confidence: 99%

“…Only a few dealt with the interaction between gold shock and stock market volatility, even though many empirical studies have been conducted to investigate the relationship between gold and stock markets, such as Do, McAleer, and Sriboonchitta [4]; Chen and Wang [5]; Liao, Qian, and Xu [6]; and, Wen and Cheng [1]. It is relevant to distinguish between positive and negative gold shocks, as this permits measuring whether the stock market volatility reacts in different ways to the gold price increases or decreases.…”

Section: Introductionmentioning

confidence: 99%

Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Yamaka

Maneejuk

2020

Mathematics

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This study aims to investigate the causality and dependence structure of gold shocks and Asian emerging stock markets. The positive and negative shocks of gold prices are quantified, and Granger causality-based Vector autoregressive and Copula approaches are employed to measure the causality and contagion effect, respectively, between the positive and negative gold shocks and Asian emerging stock markets’ volatilities. In addition, the nonlinear link between gold and stock markets is of concern and this motivates us to propose a Smooth Transition Dynamic Copula that allows for the structural change in time-varying dependence between gold shocks and Asian stock markets’ volatilities. Several Copula families are also considered, and the best-fit Copula model is used to explain the correlation or contagion effects. The findings of the study show that there is some significant causality between gold shocks and Asian stock markets’ volatilities in some parts of the sample period. We also observe a stronger correlation during the global financial crisis when compared to the pre- and post-crisis periods. In addition, the tail dependence is found between Indian stock and negative gold shock and between Korean stock and negative gold shock, which indicated the existence of the risk contagion effects between gold and these two stock markets.

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“…In the study, a positive relationship was found between the KSE100 return index and oil prices, and a negative relationship between the KSE100 return index and gold prices. Wen and Cheng (2018) analyzed the relationship between the MSCI indices of China, India, Brazil, Chile, Malaysia, Russia, Czech Republic, South Africa, and Thailand and the yields of gold and the US dollar exchange rate. According to findings both gold and the US dollar were safe investment instruments, also the US dollar was more reliable than gold in most cases.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of cointegration and causality relations between gold prices and selected financial indicators: Empirical evidence from Turkey

Kan¹,

Serin²

2022

Int. j. adv. appl. sci.

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This paper explores the dynamic relationships between gold prices and selected financial indicators (such as prices, inflation rate, deposit interest rate, exchange rate, and the Istanbul Stock Exchange National 100 index) in Turkey between the 2000-2019 period using the Fourier Toda-Yamamoto causality tests. Firstly, the ADF unit root test is applied to examine the stationary of the variables. Then Gregory-Hansen and Arai-Kurozumi cointegration tests, the Dynamic Least Squares (DOLS) approach, are employed to determine the coefficient size and direction of the variables. The findings reveal that the relationship between the inflation rate and the BIST100 index is positive and significant, while the relationship between interest rates is negative and significant. Also, the relationship between exchange rates is negative and insignificant in the study. Additionally, the impacts of the global economic crisis of 2008, which is used as a dummy variable in the study, on gold prices in Turkey are found to be positive and significant. This study indicates that gold is the safe haven for investors from 2000 to 2019 in Turkey. The findings of this paper might contribute both to investors in Turkey and future research on the determination of gold prices.

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Which is the safe haven for emerging stock markets, gold or the US dollar?

Cited by 84 publications

References 42 publications

Gold against Asian Stock Markets during the COVID-19 Outbreak

Gold against Asian Stock Markets during the COVID-19 Outbreak

Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Analysis of cointegration and causality relations between gold prices and selected financial indicators: Empirical evidence from Turkey

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