Is gold a safe haven? The international evidence revisited

Levent Bulut () and Islam Rizvanoghlu
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Levent Bulut: Department of Economics and Finance, Harley Langdale, Jr. College of Business Administration, Valdosta State University, GA 31698, USA
Islam Rizvanoghlu: Department of Economics, University of Houston, TX, USA

Acta Oeconomica, 2020, vol. 70, issue 4, 531-549

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.

Keywords: gold; emerging markets; copula; tail dependence; safe haven (search for similar items in EconPapers)
JEL-codes: C58 F30 G10 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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