Effects Of Gold Price On Equity, Bond And Domestic Credit: Evidence From ASEAN +3

Ziaei, Sayyed Mahdi

doi:10.1016/j.sbspro.2012.03.197

Cited by 31 publications

(20 citation statements)

References 16 publications

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“…study the relationship between gold and inflation in five countries from 2002 to 2013 and find that gold is not a good hedge against inflation in the long term in China. On the other hand, some other authors study the relationship between Chinese stocks and gold, such as Ziaei (2012), Anand and Madhogaria (2012), Thuraisamy et al (2013), Gürgün and Ünalmis (2014) and Arouri et al (2015). However, they do not take into account gold prices from the SGE but those from London converted into Chinese currency.…”

Section: Introductionmentioning

confidence: 99%

Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

Hoang

Wong

Zhu³

2015

Economic Modelling

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Section: Introductionmentioning

confidence: 99%

Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

Hoang

Wong

Zhu³

2015

Economic Modelling

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“…In addition, the New York gold market played a leading role and was influential in global gold markets. Ziaei (2012) used the generalised method of moments in order to analyse the effects of gold prices in the Association of Southeast Asian Nations (ASEAN)+3 countries (Indonesia, Malaysia, The Philippines, Singapore, Thailand, China, Japan and South Korea) on equity, bonds and domestic borrowing. It was found out that gold prices had a significant effect on borrowing and equity, but did not have any effect on domestic credits.…”

Section: Literaturementioning

confidence: 99%

“…Hence, the gold market, which has provided important gains recently, basically depends on two motives: gold demand for aesthetic purposes and gold demand for precautionary purposes (Ziaei, 2012). Among these, one of the most important characteristics of gold is that it is an instrument of investment in every period.…”

Section: Introductionmentioning

confidence: 99%

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Short-term and long-term relationships between gold prices and precious metal (palladium, silver and platinum) and energy (crude oil and gasoline) prices

Eryiğit

2017

Economic Research-Ekonomska Istraživanja

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Throughout history, investors have attempted to determine the future states and prices of instruments that they consider to invest in. Thus, various econometric models have been developed in order to determine the variables influencing the prices of investment instruments, as well as the relationships between such variables. The main aim of the present study was to examine the variables that may be related to gold prices. These variables were divided into two groups: precious metals and energy. According to the results of unit root (or stationary) tests and cointegration tests, a vector autoregression model (VAR) was constructed to reveal the short-term interaction between gold prices and precious metals, and a vector error correction model (VECM) was employed to reveal relationship between gold prices and energy prices. The results of the VAR analysis indicated that gold prices have a short-term correlation with silver prices; platinum prices have a short-term correlation with gold and silver prices; and there is a short-term correlation between silver prices and palladium prices. According to the results of the VECM analysis, gasoline and crude oil prices have no long-term correlations with gold prices, but gold and crude oil prices have a long-term correlation with gasoline prices.

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“…Mishra et al (2010) corroborate a bi-directional causality between gold prices and the Indian stock market over a period from 1991 to 2009. Ziaei (2012) deduces that gold acts as a hedge but not a safe haven in the ASEAN+3 countries (China, Japan, Indonesia, Malaysia, the Philippines, Singapore, South Korea, and Thailand). Jaiswal and Voronina (2011) analyze the role of gold investments in the BRIC (Brasil, Russia, India, and China) economies between 2001 and 2010, and acknowledge gold as a hedge and diversifier in these markets, though at varying strengths.…”

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confidence: 99%

The Safe Haven Property of Gold in Turkish Financial Markets: An Investigation of the Global Financial Crisis

Gencer¹,

Musoglu²

2014

boun

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This paper investigates whether gold acts as a safe haven, a hedge or a diversifier for stocks and bonds in Turkey. We employ the dynamic conditional correlation (DCC-GARCH) model which is a class of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models. DCC-GARCH has two steps; the first step models the volatility dynamics in a univariate context and the second step involves computing dynamic correlations. We use daily data from June 2006 to November 2013, a period witnessing the most recent global financial crisis and its aftermath. Our univariate GARCH model results reveal that current volatility is conditional on past shocks and volatilities for gold, stocks and bonds in Turkey. In this study, we hypothesize that gold is a hedge if the gold and the asset class are uncorrelated or negatively correlated on average, while it is a safe haven if the correlations are negative in times of market stress. The second step analyses show that gold acts as a hedge on average and a safe haven during equity market downturns for stocks. Across bonds, we show that gold acts as a hedge on the average, however it is not a safe haven during turmoil periods. Our results are of significance for portfolio managers, international investors and policy makers.

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Effects Of Gold Price On Equity, Bond And Domestic Credit: Evidence From ASEAN +3

Cited by 31 publications

References 16 publications

Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

Short-term and long-term relationships between gold prices and precious metal (palladium, silver and platinum) and energy (crude oil and gasoline) prices

The Safe Haven Property of Gold in Turkish Financial Markets: An Investigation of the Global Financial Crisis

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