Is gold a weak or strong hedge and safe haven against stocks? Robust evidences from three major gold-consuming countries

Arif Dar and Debasish Maitra

Applied Economics, 2017, vol. 49, issue 53, 5491-5503

Abstract: In this article, we test nexus between gold and stocks for the three major gold consumers by using the range of methodologies. First, we assess if there is any time-varying correlation between the two assets. We fail to find any significant time-varying correlation between gold and stock returns in India and the United States. Second, we attempted to investigate the safe-haven property of gold by analysing the decile-wise conditional correlation between stock returns and gold returns at different deciles of stock returns. Third, in order to test the robustness of the results drawn from the decile-wise correlation, we employ wavelet coherence in continuous wavelet framework to test the time and frequency varying nexus between the pair of assets. The range of methodologies employed seems to indicate the weak hedge and safe haven-property of gold for stocks.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2017.1310998 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:49:y:2017:i:53:p:5491-5503

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2017.1310998

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().