Is Gold a Safe Haven? International Evidence Revisited
By Levent Bulut, Islam Rizvanoghlu. Social Science Research Network, 2020
252 citations recorded by the source corpus.
The literature has not settled down on safe haven property of gold in emerging and developing countries. Therefore, in this study, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000 – November 2018. We employ GARCH-copula approach to estimate lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for strong safe haven property of an asset. Our findings indicate that while gold serves as a hedge instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 18 countries, and a strong safe haven asset only in six countries.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/30bdb374085694bd0d69dcf96f26242d1800140c
Citations in the corpus
- Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021, unknown): “Finally, it is also well known that precious metals play a prominent role especially to hedge against adverse financial events, the so‑called “safe haven” hypothesis in the literature (Baur & Lucey, 2010; Baur & McDermott, 2010).”
- Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, unknown): “However, most of the literature has focused on developed countries (Baur and McDermott, 2010; Hood and Malik, 2013; Choi and Hammoudeh, 2010; Creti et al. 2013; Ciner, 2013), while developing countries have only recently started receiving further attention (Basher and Sadorsky, 2016).”
- Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018, unknown): “There is a wide range of literature investigating Gold as hedge and safe haven against assets such as stocks, bonds, and US Dollar (i.a. Baur & Lucey, 2010, Baur & McDermott, 2010, 2016, Capie et al., 2005).”