Should Gold Be Held Under Global Economic Policy Uncertainty?

Qin, Meng; Su, Chi‐Wei; Xiao, Yidong; Zhang, Shuai

doi:10.3846/jbem.2020.12040

Cited by 15 publications

(7 citation statements)

References 78 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…When the economy is under extreme stress or experiencing political turbulence, gold is perceived as a favorable instrument to hedge against uncertainty and becomes a safe haven (Jones and Sackley, 2016;Baur and Lucey, 2010;Qin et al, 2020). In addition, gold has been held as part of a central bank's international reserve as an instrument to safeguard the value of its national currencies (Baur and McDermott, 2010) and to avoid default risk or political risk.…”

Section: Evidence On Individual Asset Returnsmentioning

confidence: 99%

Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets

Chiang

2021

CFRI

View full text Add to dashboard Cite

PurposeThis paper investigates the impact of a change in economic policy uncertainty (ΔEPUt) and the absolute value of a change in geopolitical risk (|ΔGPRt|) on the returns of stocks, bonds and gold in the Chinese market.Design/methodology/approachThe paper uses Engle's (2009) dynamic conditional correlation (DCC) model and Chiang's (1988) rolling correlation model to generate correlations of asset returns over time and analyzes their responses to (ΔEPUt) and |ΔGPRt|.FindingsEvidence shows that stock-bond return correlations are negatively correlated to ΔEPUt, whereas stock-gold return correlations are positively related to the |ΔGPRt|, but negatively correlated with ΔEPUt. This study finds evidence that stock returns are adversely related to the risk/uncertainty measured by downside risk, ΔEPUt and |ΔGPRt|, whereas the bond return is positively related to a rise in ΔEPUt; the gold return is positively correlated with a heightened |ΔGPRt|.Research limitations/implicationsThe findings are based entirely on the data for China's asset markets; further research may expand this analysis to other emerging markets, depending on the availability of GPR indices.Practical implicationsEvidence suggests that the performance of the Chinese market differs from advanced markets. This study shows that gold is a safe haven and can be viewed as an asset to hedge against policy uncertainty and geopolitical risk in Chinese financial markets.Social implicationsThis study identify the special role for the gold prices in response to the economic policy uncertainty and the geopolitical risk. Evidence shows that stock and bond return correlation is negatively related to the ΔEPU and support the flight-to-quality hypothesis. However, the stock-gold return correlation is positively related to |ΔGPR|, resulting from the income or wealth effect.Originality/valueThe presence of a dynamic correlations between stock-bond and stock-gold relations in response to ΔEPUt and |ΔGPRt| has not previously been tested in the literature. Moreover, this study finds evidence that bond-gold correlations are negatively correlated to both ΔEPUt and |ΔGPRt|.

show abstract

Section: Evidence On Individual Asset Returnsmentioning

confidence: 99%

Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets

Chiang

2021

CFRI

View full text Add to dashboard Cite

show abstract

“…The upturn in the Chinese stock market and the accompanying upsurge in investor sentiment (Dai et al, 2022;Le & Luong, 2022) have boosted BDI, CCI and IOTI. Third, EPU is at a relatively low level during this period (Baker et al, 2016), leading investors not to invest in safe-haven assets to hedge uncertainties (Qin et al, 2020c(Qin et al, , 2021. Then, they are more confident in investing in the stock market (including digital tech stocks), which exacerbates the explosive behavior and causes overinvestment.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

Are There Digital Tech Bubbles in China?

Qin,

Su,

Qiu

et al. 2023

Technological and Economic Development of Economy

Self Cite

View full text Add to dashboard Cite

This exploration employs the generalized supremum augmented Dickey-Fuller (GSADF) approach to explore whether there are digital tech bubbles in China. The empirical results suggest the existence of multiple digital tech bubbles, which are mostly accompanied by an excessive rise. However, the appearance of digital tech bubbles is curbed since 2016, mainly due to the increasing mature regulations in relevant fields. Besides, bubbles in different digital technologies are similar during the same period, which could be attributed to the close relationships among them. Additionally, we further investigate the factors influencing the explosive behaviours, and find that the Chinese stock market positively affects digital tech bubbles, while economic policy uncertainties and situations negatively influence such explosive behaviors. In the context of the new round of scientific and technological revolution and industrial transformation, these conclusions provide valuable implications to achieve the target of constructing a “Digital China” by becoming moderately cautious about potential bubbles in the digital tech industry.

show abstract

“…In another set of studies, Qin et al . (2020) illustrated both the positive and negative influence of global EPU on gold prices and coined the concept that gold can be used as a hedge in a crisis period although, a large piece of literature recognized gold as an effective diversifier (Hoang et al ., 2015; Arouri et al ., 2011) and a safe haven asset for other markets (Baur and Lucey, 2009; Baur and McDermott, 2010; Cohen and Qadan, 2010) in a period of crisis or uncertainty.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In another set of studies, Qin et al (2020) illustrated both the positive and negative influence of global EPU on gold prices and coined the concept that gold can be used as a hedge in a crisis period although, a large piece of literature recognized gold as an effective diversifier (Hoang et al, 2015;Arouri et al, 2011) and a safe haven asset for other markets (Baur and Lucey, 2009;Baur and McDermott, 2010;Cohen and Qadan, 2010) in a period of crisis or uncertainty. A large body of studies reexamined the stated hypothesis during the Covid-19 crisis period (Adekoya et al, 2021;Akhtaruzzaman et al, 2021;Manohar and Raju, 2021;Salisu et al, 2021) and also in association with EPU (Bilgin et al, 2018;Huynh, 2020;Zhang et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Soni

Nandan²,

Chatnani³

2023

JES

View full text Add to dashboard Cite

PurposeThis research unfolds a holistic association between economic policy uncertainty (EPU) and three important markets (oil, stock and gold) in the Indian context. To do same, the current study uses the monthly dataset of each variable spanning from November 2005 to March 2022.Design/methodology/approachThe authors have portrayed the wavelet-based coherence, correlation and covariance plots to explore the interaction between EPU and markets' behavior. Then, a wavelet-based quantile on quantile regression model and wavelet-based Granger causality has been applied to examine the cause-and-effect relation and causality between the EPU and markets.FindingsThe authors’ findings report that the Indian crude oil buyers do not need to consider Indian EPU while negotiating the oil deals in the short term and medium term. However, in case of the long-term persistence of uncertainty, it becomes difficult for a buyer to negotiate oil deals at cheap rates. EPU causes unfavorable fluctuation in the stock market because macroeconomic decisions have a substantial impact on it. The authors have also found that gold is a gauge for economic imbalances and an accurate observer of inflation resulting from uncertainty, showing a safe haven attribute.Originality/valueThe authors’ work is original in two aspects. First, their study solely focused on the Indian economy to investigate the impact and causal power of Indian EPU on three major components of the Indian economy: oil, stock and gold. Second, they will provide their findings after analyzing data at a very microlevel using a wavelet-based quantile on quantile and wavelet-based Granger causality.

show abstract

Should Gold Be Held Under Global Economic Policy Uncertainty?

Cited by 15 publications

References 78 publications

Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets

Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets

Are There Digital Tech Bubbles in China?

Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Contact Info

Product

Resources

About