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Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit

Author

Listed:
  • Syed Jawad Hussain Shahzad

    (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School)

  • Naveed Raza

    (CIIT - COMSATS Institute of Information Technology [Islamabad])

  • David Roubaud

    (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School)

  • Jose Arreola Hernandez

    (Rennes SB - Rennes School of Business)

  • Stelios Bekiros

    (Department of Economics - EUI - European University Institute - Institut Universitaire Européen)

Abstract

We examine the safe haven property of gold for stock and bond markets of G-7 countries. In doing so, we use the novel vector autoregressive for value-at-risk and the cross-quantilogram methods. These quantile-dependence measures help to examine how gold returns react to stock/bond returns when the markets are in a bearish state. The gold market is comparatively less sensitive to bond market innovations and more sensitive to stock market innovations. The tail dependence analysis, through cross-quantilogram, indicates that stock/bond returns significantly and positively spillover to the gold markets when both markets are in a bearish state. Furthermore, the findings of time-varying quantile dependence analysis, obtained by recursive sample estimations, are analogous to the full sample results. Hence, the evidence suggests that gold does not act as a safe haven for the stock and bond markets. Implications of the results are discussed.

Suggested Citation

  • Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019. "Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit," Post-Print hal-02352004, HAL.
    • Handle: RePEc:hal:journl:hal-02352004
    DOI: 10.1007/s40953-019-00163-1
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    Cited by:

    1. Muhammad Abubakr Naeem & Saqib Farid & Safwan Mohd Nor & Syed Jawad Hussain Shahzad, 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets," Mathematics, MDPI, vol. 9(4), pages 1-26, February.
    2. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    3. Kumar, Anoop S & Padakandla, Steven Raj, 2022. "Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach," Finance Research Letters, Elsevier, vol. 47(PB).
    4. Owusu Amponsah, Dan & Abdullah, Mohammad & Joel Aikins Abakah, Emmanuel & Yindenaba Abor, Joshua & Lee, Chi-Chuan, 2025. "Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    5. Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
    6. Al-Fayoumi, Nedal & Abuzayed, Bana & Bouri, Elie, 2025. "Gold for global airline stock indices during COVID-19: Hedge or safe-haven asset?," Journal of Air Transport Management, Elsevier, vol. 127(C).
    7. Mikhail Makushkin & Victor Lapshin, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
    8. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
    9. Ustaoglu, Erkan, 2025. "Static and dynamic return and volatility connectedness between transportation tokens and transportation indices: Evidence from quantile connectedness approach," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    10. Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Balli, Faruk & Shahzad, Syed Jawad Hussain, 2020. "Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    11. Khaskheli, Asadullah & Zhang, Hongyu & Raza, Syed Ali & Khan, Komal Akram, 2022. "Assessing the influence of news indicator on volatility of precious metals prices through GARCH-MIDAS model: A comparative study of pre and during COVID-19 period," Resources Policy, Elsevier, vol. 79(C).
    12. Ustaoglu, Erkan, 2023. "Diversification, hedge, and safe-haven properties of gold and bitcoin with portfolio implications during the Russia–Ukraine war," Resources Policy, Elsevier, vol. 84(C).
    13. Hoque, Mohammad Enamul & Billah, Mabruk & Alam, Md Rafayet & Tiwari, Aviral Kumar, 2024. "Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress," Global Finance Journal, Elsevier, vol. 60(C).
    14. Umar, Zaghum & Bossman, Ahmed & Choi, Sun-Yong & Teplova, Tamara, 2023. "The relationship between global risk aversion and returns from safe-haven assets," Finance Research Letters, Elsevier, vol. 51(C).
    15. T. G. Saji & V. P. Joshith & T. A. Binoy & K. Sravana, 2024. "Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 572-581, May.
    16. Yousaf, Imran & Assaf, Ata & Demir, Ender, 2024. "Relationship between real estate tokens and other asset classes: Evidence from quantile connectedness approach," Research in International Business and Finance, Elsevier, vol. 69(C).
    17. Mirzat Ullah & Kazi Sohag & Farrukh Nawaz & Oleg Mariev & Umar Kayani & Igor Mayburov & Svetlana Doroshenko, 2024. "Impact of Oil Price Shocks on Crypto and Conventional Financial Assets during Financial Crises: Evidence from the Russian Financial Market," International Journal of Energy Economics and Policy, Econjournals, vol. 14(4), pages 472-483, July.

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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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