Financial Market Risk and Gold Investment in an Emerging Market: The Case of Malaysia

Mansor Ibrahim

Journal for Economic Forecasting, 2011, issue 4, 79-89

Abstract: The present paper examines the relation between gold return and stock market return and whether its relation changes in times of consecutive negative market returns for an emerging market, Malaysia. We find a significant positive but low correlation between gold and once-lagged stock returns. Moreover, consecutive negative market returns do not seem to intensify the co-movement between the gold and stock markets as normally documented among national stock markets in times of financial turbulences. Indeed, there is some evidence that the gold market surges when faced with consecutive market declines. Based on these results, there are potential benefits of gold investment during periods of stock market slumps.

Keywords: gold investment; market return; correlations; market risk (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Journal Article: Financial market risk and gold investment in an emerging market: the case of Malaysia (2012)
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