A New Gold Rush:<i>Investing in Precious Metals</i>

Riley, Chris

doi:10.3905/joi.2010.19.2.095

Cited by 16 publications

(7 citation statements)

References 2 publications

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“…In related studies, Hammoudeh et al (2011) document the importance of other precious metals besides gold in risk management, while Conover et al (2009) suggest that investors could considerably improve portfolio performance by adding the equities of precious metals firms to portfolios of the US stocks. Riley (2010) also shows that precious metals have, in general, notable advantages like high expected returns and negative correlations vis-à-vis other asset classes, and this is particularly true in the presence of instable macroeconomic conditions and economic policy uncertainty. On the other hand, some studies show that gold's hedging and diversification potential can be reduced due to increased co-movement and volatility transmission following financialization of commodity markets (Gromb and Vayanos, 2010;Silvennoinen and Thorp, 2010;Daskalaki and Skiadopoulos, 2011;Adams and Glück, 2015).…”

Section: Introductionmentioning

confidence: 96%

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

Bekiros

Boubaker²,

Nguyen

et al. 2017

Journal of International Money and Finance

160

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There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. Whilst they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies amongst the investigated markets.

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Section: Introductionmentioning

confidence: 96%

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

Bekiros

Boubaker²,

Nguyen

et al. 2017

Journal of International Money and Finance

160

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“…Markowitz's (1952Markowitz's ( , 1959 studies laid the foundations for practical assessment of the benefits gained from an investment portfolio diversification and proved that combination of a few categories of assets may significantly reduce portfolio value fluctuations (Vukovic & Prosin, 2018). The importance of gold as of an investment was highlighted by (Jaffe, 1989;Michaud et al, 2006;Conover et al, 2009;Riley, 2010;Baur, 2013;Bradfield, & Munro, 2016) and many others. The specific role of gold in diversification of portfolio investment was analysed by (Sherman, 1982;Adrangi et al, 2000;Smith, 2002;Liu, & Chou, 2003;Davidson et al, 2003;Lucey, Tulley, 2006 a,b;Ibrahim, 2012;Makiel, 2015;Brycki, 2015;Bundrik, 2016;Yu, H.-C., Lee, C.-J.…”

Section: Introductionmentioning

confidence: 99%

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

Gasparėnienė¹,

Remeikienė²,

Sadeckas³

et al. 2018

Economics &Amp; Sociology

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During the World War I, most of the countries stopped coin production and began converting paper money into gold. Various forms of exchange were later abolished during the "Great Depression" in 1929-1933. Later, gold lost the value of money in most of the economies worldwide. Multiple price rise of gold caused a real rise in the value of gold reserves and their potential ability to cover the balance of payment deficit. At the same time, it shows that gold still plays an important role in terms of monetary aspect. The aim of this study was to determine whether ARIMA models are suitable for determining the short-term volatility of gold prices. The calculations show that ARIMA model is suitable only for short-term gold price forecasts (max. 1 year). Thus, it is necessary to apply other models (multi-regression ones) that also can reveal the relationship between gold price and its determinants.

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“…Its role as an investment asset for example has been highlighted by Baur (2013), Michaud, Michaud, and Pulvermacher (2006), Conover, Jensen, Johnson, & Mercer (2009), Jaffe (1989, and Riley (2010). Furthermore, its specific role as a portfolio diversifier has been promoted by Davidson, Faff, and Hillier (2003) and Sherman (1982).…”

Section: Literature Reviewmentioning

confidence: 95%

The role of gold bullion in South African balanced portfolios

Bradfield

Munro

2016

South African Journal of Accounting Research

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The objective of this paper is to establish the structural features that gold bullion brings to South African global-balanced portfolios and to establish a strategic weight for this potential asset. We consider two methodological approaches based on a 40-year history to establish a strategic allocation weight for gold bullion. Our first approach considers the strategic role of gold bullion in South African global-balanced portfolios by using a mean-variance efficient frontier framework. We also implement a second assessment methodology that utilises a non-parametric optimisation procedure. We find from our efficient frontier analysis that the primary strategic role of gold bullion in a South African multi-asset portfolio is to add diversification and reduce portfolio risk (rather than enhance return). Whilst our mean-variance results differ slightly from our non-parametric results we ultimately find evidence in support of an allocation of 4% to gold bullion for South African balanced portfolios. This finding is consistent with findings in the international literature.

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A New Gold Rush:Investing in Precious Metals

Cited by 16 publications

References 2 publications

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

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

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

The role of gold bullion in South African balanced portfolios

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