View More View Less
  • 1 Department of Economics and Finance, Harley Langdale, Jr. College of Business Administration, Valdosta State University, GA 31698, USA
  • | 2 Department of Economics, University of Houston, TX, USA
Restricted access

Purchase article

USD  $25.00

1 year subscription (Individual Only)

USD  $700.00

Abstract

The literature has not settled down on safe haven property of gold in the emerging and developing countries. Therefore, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000–November 2018. We employ the GARCH-copula approach to estimate the lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for the strong safe haven property of an asset. Our findings indicate that while gold serves as a hedging instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 20 countries, and a strong safe haven asset (SHA) only in 9 countries.

  • Aboura, S. J.Jammazi, R.Tiwari, A. K. (2016): The Place of Gold in the Cross-Market Dependencies. Studies in Nonlinear Dynamics & Econometrics, 20(5): 567586.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Ahmed, R. R.Vveinhardt, J. (2018): Estimation of Causal Relationship between World Gold Prices and KSE 100 Index: Evidence from Johansen Cointegration Technique. Acta Oeconomica, 68(1): 5177.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Baur, D. G.Lucey, B. M. (2010): Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45(2): 217229.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Baur, D. G.McDermott, T. K. (2010): Is Gold a Safe Haven? International Evidence. Journal of Banking & Finance, 34(8): 18861898.

  • Beckmann, J.Berger, T.Czudaj, R. (2015): Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach. Economic Modelling, 48: 1624.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Bekiros, S.Boubaker, S.Nguyen, D. K.Uddin, G. S. (2017): Black Swan Events and Safe Havens: The Role of Gold in Globally Integrated Emerging Markets. Journal of International Money and Finance, 73: 317334.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Brechmann, E.Schepsmeier, U. (2013): C-D-Vine: Modelling Dependence with C-and D-Vine Copulas in R Package CD-Vine. Journal of Statistical Software, 52(3): 127.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Bredin, D.Conlon, T.Potì, V. (2015): Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon. International Review of Financial Analysis, 41: 320328.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Chkili, W. (2016): Dynamic Correlations and Hedging Effectiveness Between Gold and Stock Markets: Evidence for BRICS Countries. Research in International Business and Finance, 38: 2234.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Ciner, C.Gurdgiev, C.Lucey, B. M. (2013): Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates. International Review of Financial Analysis, 29: 202211.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Flavin, T. J.Morley, C. E.Panopoulou, E. (2014): Identifying Safe Haven Assets for Equity Investors through an Analysis of the Stability of Shock Transmission. Journal of International Financial Markets, Institutions and Money, 33: 137154.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Gürgün, G.Unalmıs, I. (2014): Is Gold a Safe Haven Against Equity Market Investment in Emerging and Developing Countries? Finance Research Letters, 11(4): 341348.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Hood, M.Malik, F. (2013): Is Gold the Best Hedge and a Safe Haven Under Changing Stock Market Volatility? Review of Financial Economics, 22(2): 4752.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Liu, W. (2019): Are Gold and Government Bond Safe‐Haven Assets? An Extremal Quantile Regression Analysis. International Review of Finance, 20(2): 451483.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Reboredo, J. C. (2013): Is Gold a Safe Haven or a Hedge for the US Dollar? Implications for Risk Management. Journal of Banking & Finance, 37(8): 26652676.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Reboredo, J. C.Ugolini, A. (2015): Downside/Upside Price Spillovers between Precious Metals: A Vine Copula Approach. The North American Journal of Economics and Finance, 34: 84102.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Sklar, M. (1959): Fonctions de Répartition à n Dimensions et Leurs Marges. Publications de l’Institut Statistique de l’Université de Paris, No. 8, pp. 229231.

    • Search Google Scholar
    • Export Citation
  • Wen, X.Cheng, H. (2018): Which is the Safe Haven for Emerging Stock Markets, Gold or the US Dollar? Emerging Markets Review, 35: 6990.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Yang, L.Hamori, S. (2014): Gold Prices and Exchange Rates: A Time-Varying Copula Analysis. Applied Financial Economics, 24(1): 4150.

    • Crossref
    • Search Google Scholar
    • Export Citation
  • Zakoian, J. M. (1994): Threshold Heteroskedastic Models. Journal of Economic Dynamics and Control, 18(5): 931955.