Is Gold a Safe Haven? International Evidence revisited

Levent Bulut (lbulut@valdosta.edu) and Islam Rizvanoghlu (irizvanoghlu@uh.edu)

MPRA Paper from University Library of Munich, Germany

Abstract: The literature has not settled down on safe haven property of gold in emerging and developing countries. Therefore, in this study, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000 – November 2018. We employ GARCH-copula approach to estimate lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for strong safe haven property of an asset. Our findings indicate that while gold serves as a hedge instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 18 countries, and a strong safe haven asset only in six countries.

Keywords: gold; emerging; markets; copula; tail; dependence; safe; haven (search for similar items in EconPapers)
JEL-codes: C58 F30 G10 G15 (search for similar items in EconPapers)
Date: 2019-01-20
New Economics Papers: this item is included in nep-fmk and nep-isf
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:91957

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