Stock market returns and the price of gold

Deren Caliskan and Mohammad Najand ()
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Mohammad Najand: Strome College of Business, Old Dominion University

Journal of Asset Management, 2016, vol. 17, issue 1, No 2, 10-21

Abstract: Abstract Contrarian investors attempt to buy low and sell high in stock markets. They may demand gold to secure their gains when they sell their winning portfolios, as they need marketable securities. On the other hand, when investors find an opportunity to buy stocks at lower prices, they may demand less gold because they need capital to buy losing portfolios. Unlike the traditional view, this study predicts the price of gold to increase (decrease) subsequent to significant positive (negative) stock returns. We provide some evidence to support this hypothesis, against the traditional view, arguing that investors may demand more or less gold to take advantage of market fluctuations.

Keywords: price of gold; spillover; GARCH; contrarian strategy (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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DOI: 10.1057/jam.2015.37

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