 How are gold returns related to stock or bond returns in the U.S. market? Evidence from the past 10-year gold marketChung Baek Applied Economics, 2019, vol. 51, issue 50, 5490-5497 Abstract: Although the gold market over the past decade has been soaring relative to its prior history, there have been few studies on the relationship between the gold market and other major financial markets based on the past decade of data. To re-investigate how the gold market interacts with the stock market and the bond market, we re-visit economic and financial characteristics of gold using the past 10-year data in terms of co-integration, causality, predictive power, and extreme returns. We find that while gold returns are not co-integrated with stock returns and bond returns, gold returns have a unidirectional causality with both of them. Also, we discover that gold returns have some predictive power on subsequent short-term stock returns. Under extreme market scenarios, it turns out that gold returns tend to deteriorate more simultaneously with bond returns than stock returns. This means that gold can better serve as a safe haven for stock in a relative sense during temporary market downturns. Date: 2019 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:51:y:2019:i:50:p:5490-5497 Ordering information: This journal article can be ordered from DOI: 10.1080/00036846.2019.1616062 Access Statistics for this article Applied Economics is currently edited by Anita Phillips More articles in Applied Economics from Taylor & Francis Journals |
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