The timing of the flight to gold: An intra-day analysis of gold and the S&P500

Dirk G. Baur and Konstantin Kuck

Finance Research Letters, 2020, vol. 33, issue C

Abstract: We use high-frequency intra-day gold and S&P500 data covering the period from 2007 to 2018 to investigate when and how fast gold prices react to extreme negative shocks in the equity market. Our empirical analysis reveals three new features of gold: First, extreme negative 5-min S&P500 returns lead to a positive reaction of the gold price. Second, on days with extreme price declines in the stock market, gold continues to increase post US stock trading hours. Third, daily extreme negative equity returns accrue comparatively slowly over several hours. The findings show that there is a fast reaction of gold prices to extreme negative stock returns consistent with a flight to gold.

JEL-codes: D81 F30 G01 G11 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319301448

DOI: 10.1016/j.frl.2019.05.005

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