Gold's hedging and safe haven properties for European stock and bond markets

Vieira, Duarte Saldanha; Carvalho, Paulo Viegas de; Curto, José Dias; Laureano, Luís

doi:10.1016/j.resourpol.2023.103817

Cited by 5 publications

(3 citation statements)

References 26 publications

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“…This can affect overall perceptions in the market, making investors more cautious of risky investments such as bonds, and more likely to choose assets that are considered more stable, such as gold. The results of this study are in line with the research conducted by Megananda et al (2021), Ciner et al (2013) and Vieira et al (2023) which concluded that the price of gold negatively affects bonds.…”

Section: Discussionsupporting

confidence: 90%

“…Gold, often considered a safe-haven asset, tends to exhibit an inverse relationship with bond yields due to their contrasting characteristics and roles in investment portfolios. When gold prices rise, indicating heightened investor concern or uncertainty, investors may flock to safe-haven assets like gold, leading to increased demand and upward pressure on gold prices (Vieira et al, 2023). Consequently, as demand for bonds diminishes relative to gold, bond prices fall, and yields rise as investors demand higher returns to compensate for perceived risk (Basher & Sadorsky, 2016).…”

Section: Introductionmentioning

confidence: 99%

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Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields

Darsono,

Firman,

Nugraha

et al. 2024

JESP

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Several factors influence the movements and dynamics of bond yields in financial markets. The determination of monetary policy, specifically the decisions regarding interest rates made by central banks, is a critical factor. Moreover, bond yields can be influenced by various factors such as geopolitical events, financial volatility, market sentiment, and investor risk appetite. These factors can impact the demand and supply dynamics in bond markets. This research aims to analyze the influence of Interest Rates, IDR to USD Exchange Rates, Volatility Index (VIX), Gold and Oil Prices on Bond Yields in Indonesia. The data used in this research is secondary data, which consists of time series data from 2019-2023. This research investigates the impact of financial and commodity prices on bond yields in Indonesia by using the autoregressive distributed lag (ARDL) model to examine both the long-run correlation and short-run effect. Empirical results found that Interest Rate, Volatility Index (VIX), and Oil Prices have a significant positive influence. Meanwhile, the Gold Price variable has a significant negative influence. This research has several crucial policy implications for investors concerning the national monetary policy, exchange rate fluctuation, and global volatility index to create profitable and sustainable portfolio strategies. Moreover, investment managers and investors should be concerned about the global commodities prices that will affect bond yield performances. This research contributes to the recent literature presenting causal relations of global volatility index (VIX) on Indonesian bond yield.

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Section: Discussionsupporting

confidence: 90%

Section: Introductionmentioning

confidence: 99%

Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields

Darsono,

Firman,

Nugraha

et al. 2024

JESP

View full text Add to dashboard Cite

show abstract

“…[ 50 ] have investigated the potential of gold, oil, equities, and currencies as hedges against EPU and GPR (Geopolitical Risks) during the COVID-19 crisis, although their effectiveness was limited under extreme uncertainty and risk. [ 51 ] have studied the role of gold in European equity and bond markets during COVID-19. They have found that gold was not as effective during the GFC.…”

Section: Literature Reviewmentioning

confidence: 99%

Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset?

Yun,

Choi,

Kim

2023

PLoS ONE

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This study utilizes the hedging potential of the U.S. Dollar Index (USDX) during the COVID-19 period, specifically comparing its positive effects on optimal portfolio weights and hedging ratios with those of traditional hedging assets, such as the VIX and gold. The scalar BEKK GARCH model is employed to forecast volatility and calculate hedging indicators. The results show that USDX exhibits strong hedging abilities against S&P 500 index volatility. These findings highlight the advantageous role of the USDX as a hedging instrument, particularly during periods of heightened market uncertainty, such as during the COVID-19 crisis. Despite the increased market volatility during the COVID-19 pandemic, the value of the optimal portfolio weights is stable and the volatility of the weights is significantly reduced, demonstrating the strength of the USDX’s low risk and volatility in hedging against market fluctuations. Moreover, the increase in the hedge ratio indicates that more capital is allocated to hedging, reflecting the increased correlation between the USDX and S&P 500 index. These results emphasize the beneficial role of the USDX as a hedging instrument during times of elevated market uncertainty, such as during the COVID-19 crisis. Ultimately, USDX can provide valuable insights for market participants seeking effective hedging strategies.

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Beyond the glitter: An empirical assessment of the true risk and hedging role of precious metals

Sen,

Chakrabarti

2024

Resources Policy

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Gold's hedging and safe haven properties for European stock and bond markets

Cited by 5 publications

References 26 publications

Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields

Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields

Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset?

Beyond the glitter: An empirical assessment of the true risk and hedging role of precious metals

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