A New Gold Rush: Investing in Precious Metals

Riley, Chris

doi:10.2139/ssrn.1411586

Cited by 3 publications

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“…Conover et al (2009) suggest that investors could considerably improve portfolio performance by adding a significant exposure to the equities of precious metals firms. Riley (2010) shows that precious metals have advantages like good expected returns and strong negative correlations with other asset classes. Additionally, studies like Hammoudeh, Malik, and McAleer (2011) have highlighted the importance of other precious metals besides gold in risk management.…”

Section: Introductionmentioning

confidence: 99%

Is gold the best hedge and a safe haven under changing stock market volatility?

2013

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a b s t r a c tWe evaluate the role of gold and other precious metals relative to volatility (Volatility Index (VIX)) as a hedge (negatively correlated with stocks) and safe haven (negatively correlated with stocks in extreme stock market declines) using data from the US stock market. Using daily data from November 1995 to November 2010, we find that gold, unlike other precious metals, serves as a hedge and a weak safe haven for US stock market. However, we find that VIX serves as a very strong hedge and a strong safe haven during our sample period. We also find that in periods of extremely low or high volatility, gold does not have a negative correlation with the US stock market. Our results show that VIX is a superior hedging tool and serves as a better safe haven than gold during our sample period. We highlight the practical significance of our results for financial market participants by conducting a portfolio analysis. (M. Hood), farooq.malik@zu.ac.ae (F. Malik). 1 Tel.: +1 512 2453195. 2 Whaley, the creator of VIX, even suggests that part of the purpose of VIX is to serve as a hedge to stock investing (Whaley, 2009) 1058-3300/$see front matter

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Section: Introductionmentioning

confidence: 99%

Is gold the best hedge and a safe haven under changing stock market volatility?

2013

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Gold - Fundamental Drivers and Asset Allocation

Baur

2013

SSRN Journal

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Will Precious Metals Shine? A Market Efficiency Perspective

Charles

Darné

Kim³

2014

SSRN Journal

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Precious metals (gold, silver, and platinum) have become an important part of investment portfolios for individuals as well as for institutions. This paper examines the weak-form efficiency of precious metals markets, using the automatic portmanteau and variance ratio tests. It is found that return predictability of these markets has been changing over time, depending on the prevailing economic and political conditions. The return predictability of gold and silver markets have been showing downward trends, implying that the degree of the weak-form efficiency of these markets have been gradually improving. In particular, the gold market has been highly efficient recently, showing the highest degree of market efficiency among the three precious metals markets.

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A New Gold Rush: Investing in Precious Metals

Cited by 3 publications

References 0 publications

Is gold the best hedge and a safe haven under changing stock market volatility?

Is gold the best hedge and a safe haven under changing stock market volatility?

Gold - Fundamental Drivers and Asset Allocation

Will Precious Metals Shine? A Market Efficiency Perspective

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