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The systematic risk of gold at different time-scales

Author

Listed:
  • Antonis A Michis

    (Central Bank of Cyprus)

Abstract

Gold is frequently cited by investors as a financial asset that can be associated with a negative beta coefficient. I investigate this hypothesis by estimating the beta coefficient of gold at different time-scales and examining the associated implications for investors with different planning horizons. Estimation is performed using maximal overlap discrete wavelet transforms of gold and stock market returns in four major currencies. The results suggest that gold tends to be associated with a negative beta coefficient when considering long-term investment horizons, and this finding is consistent across markets and currencies.

Suggested Citation

  • Antonis A Michis, 2019. "The systematic risk of gold at different time-scales," Economics Bulletin, AccessEcon, vol. 39(2), pages 1215-1227.
    • Handle: RePEc:ebl:ecbull:eb-18-00547
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2019/Volume39/EB-19-V39-I2-P116.pdf
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    References listed on IDEAS

    as
    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    2. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    3. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    4. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    systematic risk; time-scales; wavelets;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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