Is gold a hedge and safe haven for stock market?

Ke Chen and Meng Wang

Applied Economics Letters, 2019, vol. 26, issue 13, 1080-1086

Abstract: The paper aims to examine the hedge and safe haven properties of gold relative to Dow Jones stock industry indices using quantile-GARCH approach. Splitting the sample period into two sub-periods, our results show that the hedge and safe haven properties of gold have a changing nature. In a whole period (1980–2017), gold is not a hedge for Oil&Gas, Basic materials and Utilities; gold is a safe haven for almost all sectors except Technology. While in sub-period I (1980–1995) gold is not a hedge for Oil&Gas but a strong safe haven for all sectors. In sub-period II (1996–2017) gold is not a hedge for Oil&Gas, Basic materials and Utilities, also not a safe haven for Oil&Gas, Basic materials, Utilities, Telecom and Technology.

Date: 2019
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DOI: 10.1080/13504851.2018.1537469

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