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Which is the safe haven for emerging stock markets, gold or the US dollar?

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  • Wen, Xiaoqian
  • Cheng, Hua

Abstract

This paper examines whether gold or the US dollar is a safe haven for emerging stocks. By calculating the low-high tail dependence between markets via copulas and the downside risk gains of portfolios, we find that both gold and the US dollar can serve as a safe haven for emerging stocks; that the US dollar is better than gold in most cases, while its superiority in hedging infinitely extreme risks is weakened in the subsample of global financial crisis and the out-of-sample; and that the downside risk gains offered by the US dollar for China and Thailand are very attractive.

Suggested Citation

  • Wen, Xiaoqian & Cheng, Hua, 2018. "Which is the safe haven for emerging stock markets, gold or the US dollar?," Emerging Markets Review, Elsevier, vol. 35(C), pages 69-90.
    • Handle: RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90
    DOI: 10.1016/j.ememar.2017.12.006
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    More about this item

    Keywords

    Emerging stock markets; Gold; US dollar; Safe haven; GAS copulas;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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