“The beauty of gold is, it loves bad news”: evidence from three major gold consumers

Niyati Bhanja () and Arif Dar

Economic Change and Restructuring, 2015, vol. 48, issue 3, 187-208

Abstract: In this paper we test the hedge and safe haven property of gold for multi-horizon stock market investors. Our methodological approach allows us to test these properties for investors with different investment horizons which has not been examined so far. To this end, we estimate the wavelet power and wavelet coherence to test the hedge and safe haven property. By using the wavelet coherence and cross wavelet phase angle we then asses the relationship between stock returns and returns in the gold market for both calm as well as turbulent periods. Our results indicate that the two assets are not correlated on average and mostly independent for both the calm as well as turbulent periods. It is therefore inferred that gold could be used as a weak hedge as well as a weak safe haven by the stock market investors. Copyright Springer Science+Business Media New York 2015

Keywords: Gold; Stock prices; Muti-horizon investors; Hedge; Safe haven; G01; G15; C58 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:ecopln:v:48:y:2015:i:3:p:187-208

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DOI: 10.1007/s10644-015-9160-z

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