What drives gold returns? A decision tree analysis

A.G. Malliaris and Mary Malliaris
Authors registered in the RePEc Author Service: Anastasios G. Malliaris

Finance Research Letters, 2015, vol. 13, issue C, 45-53

Abstract: The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises and financial instabilities very vigorously. In this paper we follow a decision tree methodology to investigate the behavior of gold prices using both traditional financial variables such as equity returns, equity volatility, oil prices, and the euro. We also use the new Cleveland Financial Stress Index to investigate its effectiveness in explaining changes in gold prices. We find that gold returns depend on different determinants across various regimes.

Keywords: Gold prices; Uncertainty; Decision tree analysis; Financial Stress Index (search for similar items in EconPapers)
JEL-codes: C88 D81 G1 G17 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:13:y:2015:i:c:p:45-53

DOI: 10.1016/j.frl.2015.03.004

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