Gold and financial assets: Are there any safe havens in bear markets?
AbstractThis paper looks into the role of gold as a safe haven or a hedge against stocks. We extend the existing literature in two ways. First, we consider crisis periods successively defined by recessions and bear markets. Second, we use a bivariate ARMA-GARCH-X model to estimate conditional covariances between gold and stocks returns. The regressions are run on monthly data for gold and several stock market indices (France, Germany, the UK, the US, the G7). We find that gold qualifies as a safe haven against all these stock indexes. This result holds for crises defined as recessions or bear markets, as the covariance between gold and stocks returns is found negative or null in all cases. Gold is also able to hedge against stock losses in most cases, although results are less clear-cut.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 31 (2011)
Issue (Month): 2 ()
Contact details of provider:
gold; stocks; safe haven.;
Other versions of this item:
- Virginie Coudert & Hélène Raymond, 2010. "Gold and Financial Assets: Are There Any Safe Havens in Bear Markets?," Working Papers 2010-13, CEPII research center.
- G1 - Financial Economics - - General Financial Markets
- F3 - International Economics - - International Finance
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
- Brian Lucey & Fergal A. O'connor, . "Do Bubbles occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models," The Institute for International Integration Studies Discussion Paper Series iiisdp418, IIIS.
- Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan.
- William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, SUERF - The European Money and Finance Forum.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.