Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit

Syed Jawad Hussain Shahzad, Naveed Raza (), David Roubaud (), Jose Arreola Hernandez and Stelios Bekiros
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Naveed Raza: COMSATS Institute of Information Technology

Journal of Quantitative Economics, 2019, vol. 17, issue 4, No 10, 885-912

Abstract: Abstract We examine the safe haven property of gold for stock and bond markets of G-7 countries. In doing so, we use the novel vector autoregressive for value-at-risk and the cross-quantilogram methods. These quantile-dependence measures help to examine how gold returns react to stock/bond returns when the markets are in a bearish state. The gold market is comparatively less sensitive to bond market innovations and more sensitive to stock market innovations. The tail dependence analysis, through cross-quantilogram, indicates that stock/bond returns significantly and positively spillover to the gold markets when both markets are in a bearish state. Furthermore, the findings of time-varying quantile dependence analysis, obtained by recursive sample estimations, are analogous to the full sample results. Hence, the evidence suggests that gold does not act as a safe haven for the stock and bond markets. Implications of the results are discussed.

Keywords: Gold market; Financial markets; Spillovers; Diversification; Tail dependence (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s40953-019-00163-1

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