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Gold price movements in selected currencies: wavelet approach

Listed author(s):
  • Mohamad, Sharifah Fairuz Syed
  • Masih, Mansur

Investment in gold has been in demand for the past few years especially in hedging strategies. At the same time, various calls for gold to go back to its historical function even before the coming of Islam have been popular among Islamic scholars due to its characteristic of having intrinsic value as compared to the fiat money enhancing the argument for those supporting gold as a currency. Many studies have been dedicated to the relationships between gold and various commodities and suggesting gold as a hedge against the dollar. This study intends to see the relationship of selected currencies in the price of gold to see the movements and how gold has been performing in different sectors. The wavelet approach is used to show the different movements of paired currencies (US index-US Gold, US Gold-Euro Gold, US Gold-Ringgit Gold, and Euro Gold-Pound Gold) in terms of their gold price in different time horizons (time scales). The findings of the study are of benefit to gold investors especially for diversification and investment purposes.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 62347.

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Date of creation: 12 Aug 2013
Handle: RePEc:pra:mprapa:62347
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  1. Toraman, Cengiz & Basarir, Cagatay & Bayramoglu, Mehmet Fatih, 2011. "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 2(4), pages 1-37, October.
  2. Inagaki, Kazuyuki, 2007. "Testing for volatility spillover between the British pound and the euro," Research in International Business and Finance, Elsevier, vol. 21(2), pages 161-174, June.
  3. Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
  4. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
  5. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
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