Gold as Hedge or Safe Haven in Global Equity Markets
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
Recently, it has become very important for equity investors to manage their investment risk. Since the global financial crisis of 2008, it has frequently been observed that the price of gold moves in the opposite direction from that of equity in many countries. In this context, questions about whether gold can be a hedge or a safe haven for equity has attracted investors’ attention. This paper has examined the hypothesis that gold is a hedge or safe-haven asset against the risk of equity markets. Using a model of dynamic conditional correlations covering 15 years of weekly data for 11 equity markets, our empirical results yielded two findings. (1) Data from most countries show that the average of conditional correlation coefficients between gold and equity returns is negative, implying a hedge role in equity markets. (2) Gold has been an effective safe haven in extreme bearish equity conditions including the 2008 Global financial crisis. These findings indicate that gold is a useful investment to hedge the stock portfolio risk and to strengthen the benefits of the diversification of portfolios from the perspective of equity risk management.
Abstract
Recently, it has become very important for equity investors to manage their investment risk. Since the global financial crisis of 2008, it has frequently been observed that the price of gold moves in the opposite direction from that of equity in many countries. In this context, questions about whether gold can be a hedge or a safe haven for equity has attracted investors’ attention. This paper has examined the hypothesis that gold is a hedge or safe-haven asset against the risk of equity markets. Using a model of dynamic conditional correlations covering 15 years of weekly data for 11 equity markets, our empirical results yielded two findings. (1) Data from most countries show that the average of conditional correlation coefficients between gold and equity returns is negative, implying a hedge role in equity markets. (2) Gold has been an effective safe haven in extreme bearish equity conditions including the 2008 Global financial crisis. These findings indicate that gold is a useful investment to hedge the stock portfolio risk and to strengthen the benefits of the diversification of portfolios from the perspective of equity risk management.
참고문헌 (16)
- Arouri, M. E. H., "World Gold Prices and Stock Returns in China : Insights for Hedging and Diversification Strategies", Economic Modelling, 44, pp.273~282 (2015)
- Baur, D. G., "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold", Financial Review, 45(2), pp.217~229 (2010)
- Baur, D. G., "Is Gold a Safe Haven? International Evidence", Journal of Banking & Finance, 34(8), pp.1886~1898 (2010)
- Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31(3), pp.307~327 (1986)
- Capie, F., "Gold as a Hedge against the Dollar", Journal of International Financial Markets, Institutions & Money, 15(4), pp.343~352 (2005)
- Daskalaki, C., "Should Investors Include Commodities in Their Portfolios After All? New Evidence", Journal of Banking & Finance, 35(10), pp.2606~2626 (2011)
- Engle, R., "Dynamic Conditional Correlation : A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models", Journal of Business & Economic Statistics, 20(3), pp.339~350 (2002)
- Engle, R. F., "Modelling the Persistence of Conditional Variances", Econometric Reviews, 5(1), pp.1~50 (1986)
- Ghazali, M. F., "Sharia Compliant Gold Investment in Malaysia: Hedge or Safe Haven?", Pacific-Basin Finance Journal, 34, pp.192~204 (2015)
- Gürgün, G., "Is Gold a Safe Haven against Equity Market Investment in Emerging and Developing Countries", Financial Research Letter, 11(4), pp.341~348 (2014)
- Hosking, J. R. M., "The Multivariate Portmanteau Statistic", Journal of the American Statistical Association, 75(371), pp.602~608 (1980)
- Joy, M., "Gold and the US Dollar: Hedge or Haven?", Finance Research Letters, 8(3), pp.120~131 (2011)
- Is Gold a Zero-Beta Asset? Analysis of the Investment Potential of Precious Me, "McCown, J. R.", Cervino Institute, Meinders School of business, Oklahoma City University, ~ (2006)
- McLeod, A. I., "Diagnostic Checking of ARMA Time Series Models Using Squared Residual Autocorrelations", Journal of Time Series Analysis, 4(4), pp.269~273 (1983)
- Mensi, W., "Are Sharia Stocks, Gold and U.S. Treasury Hedges and", or Safe Havens for the Oil-based GCC Markets?, 2015, pp.24, 101~121
- Reboredo, J. C., "Is Gold a Safe Haven or a Hedge for the US Dollar? Implications for Risk Management", Journal of Banking & Finance, 37(8), pp.2665~2676 (2013)