A Comparison of Realized Covariances in Examining Gold's Properties Against Leading Eurozone Stocks

Josip Arneric () and Anamarija Cupic ()
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Josip Arneric: Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia
Anamarija Cupic: HPB Invest, Split, Croatia

Croatian Economic Survey, 2026, vol. 28, issue 1, 39-68

Abstract: This paper examines whether gold can act as a safe haven and/or a hedge against the eurozone stock market by identifying periods of negative or zero integrated covariance (ICOV), estimated from high-frequency prices for each trading day. There is no consensus on a unique ICOV estimator due to the sensitivity of realized counterparts to market imperfections. Hence, this research employs an appropriate synchronization scheme, an optimal sampling frequency, and a top-ranked robust price-jump estimator. Unlike existing studies that rely on daily prices or simulated intraday prices, this paper contributes by determining which realized covariance provides an unbiased and consistent ICOV estimate between the EUROSTOXX50 index and gold using one-minute transaction data. The robust version of the realized two-times scaled covariance (RRTSCOV) is appointed as the benchmark against which other estimators are compared and ranked by mean squared error, quasi-likelihood loss functions, and the Diebold-Mariano test. The realized outlyingness-weighted covariance (ROWCOV) at a sampling frequency of 22 minutes confirms that gold served as a safe haven during the first wave of the COVID-19 pandemic and the onset of the war in Ukraine. Thus, in the short run, gold exhibits strong safe-haven properties, but in the long run, the realized covariance indicates a weak hedge for leading eurozone stocks.

Keywords: eurozone stock market; gold properties; intraday prices; realized covariance (search for similar items in EconPapers)
JEL-codes: C55 C58 G11 G15 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:iez:survey:ces-v28_1-2026_arneric-cupic

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