Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’

Takashi Miyazaki () and Shigeyuki Hamori

Applied Financial Economics, 2013, vol. 23, issue 1, 27-40

Abstract: This article investigates the causal relationships between gold and stock market performance or uncertainty by employing nonuniform weighting cross-correlations. In our sample period covering the last decade, we detect a unidirectional causality in mean from stock to gold, but find no causality in variance between the two. For subsample periods divided into pre- and post-current financial crisis, although we detect bidirectional causality in mean for the first sample period, there exists only a unilateral causality in mean and variance from stock to gold for the second sample period. These findings imply that flight-to-quality has occurred during the recent financial turmoil.

Date: 2013
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Citations: View citations in EconPapers (27)

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DOI: 10.1080/09603107.2012.699184

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