Is gold a hedge and safe haven for stock market?

Chen, Ke; Wang, Meng

doi:10.1080/13504851.2018.1537469

Cited by 37 publications

(17 citation statements)

References 22 publications

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“…Furthermore, it differs across different sectors. The study by [40] applied different methodologies in their robust analysis, indicating the weak hedge and safe haven role of gold for stocks. The study by [41] applied a wavelet decomposition with a copula approach to analyze the dependence between returns of gold and other assets (bonds, stocks, and exchange rates).…”

Section: Theoretical Backgroundmentioning

confidence: 99%

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Vuković

Maiti

Grubišić³

et al. 2021

Sustainability

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The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

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Section: Theoretical Backgroundmentioning

confidence: 99%

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Vuković

Maiti

Grubišić³

et al. 2021

Sustainability

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“…Further, technology stocks have different effects across industries or sectors ( Chen and Lin 2014 ; Chen and Wang 2019 ; Hansda and Ray, 2002 ; Jawadi et al., 2013 ; Kumar et al., 2012 ; Smales, 2019 ; Symitsi and Chalvatzis, 2018 ). For example, the spill over effects between different assets, such as oil, clean energy, and technology-based stocks, have gained popularity in recent studies ( Ahmad 2017 ; Bondia et al., 2016 ; Kumar et al., 2012 ).…”

Section: Literature Reviewmentioning

confidence: 99%

“…However, the connectedness between alternative energy stock prices, technology stock prices, and crude oil is found in the short-run not in the long-run ( Bondia et al., 2016 ). In another hedging strategy, though gold may act as a safe haven against extreme market movement and is a hedge on average, it is not a safe haven for technology stocks ( Chen and Wang 2019 ).…”

Section: Literature Reviewmentioning

confidence: 99%

Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution

Abakah

Tiwari

2021

Technological Forecasting and Social Change

236

120

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Highlights The time and frequency domain connectedness and spillover are among Fintech, green bonds, and cryptocurrencies. Portfolios consisting of the assets with heavy-tail dependence. Volatility transmission is higher in the short term. Gold and oil, as well as the modern age asset, green bonds, turn useful as good hedgers as compared to other assets. Fintech index and general equity indexes are not good hedging instruments for each other.

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“…Notably, gold is appreciated by investors and portfolio managers because it is (positively) weakly or negatively correlated with stock market indices, which makes it able to offset stock market losses especially during stressful periods. The academic literature is rich in studies dealing with the hedge and safe-haven roles of gold for stock market indices (Baur and McDermott 2010;Gürgün and Ünalmış 2014;Beckmann et al 2015;Arouri et al 2015;Chkili 2016;Klein 2017;Klein et al 2018;Bekiros et al 2017;Chen and Wang 2019;Ali et al 2020;Shahzad et al 2020;Ming et al 2020). It extensively considers the role of gold during various financial crises and adverse market conditions, and mostly applies methods based on conditional correlations and portfolio analyses (e.g., Basher and Sadorsky 2016).…”

Section: Introductionmentioning

confidence: 99%

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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Is gold a hedge and safe haven for stock market?

Cited by 37 publications

References 22 publications

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution

Gold against Asian Stock Markets during the COVID-19 Outbreak

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