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Time-varying linkages among gold, stocks, bonds and real estate

Nafeesa Yunus

The Quarterly Review of Economics and Finance, 2020, vol. 77, issue C, 165-185

Abstract: This study explores the time-varying linkages among gold, stocks (large-cap, mid-cap and small-cap), bonds (corporate, T-Bond and T-Bill), and real estate, in order to evaluate the hedging and safe haven properties of gold under differing market conditions. Long-run results indicate that gold is integrated with each asset class during the pre-crisis (1985–2007) period indicating that it does not serve as a hedge during tranquil regimes. Short-run analysis of the crisis only (2007–2009) period suggest that gold is minimally affected by shocks from key economic variables indicating that gold acts as a weak safe haven. However, the response of gold to shocks from key economic variables does not contradict the reaction of other variables to the same shocks indicating that gold does not serve as a strong safe haven during periods marked by high volatility.

Keywords: Financial econometrics; Cross-asset-market linkage; Hedge; Safe haven; Portfolio choice; Investment decisions; Gold; Stock market; Bond market; Real estate market (search for similar items in EconPapers)
JEL-codes: C32 C58 G01 G1 G11 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.qref.2020.01.015

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