Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/35563 |
Resumo: | The aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception. |
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Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity MarketsBlack Swan eventGoldHedgeSafe haven assetEvento Cisne NegroOuroProteçãoAtivo porto seguroDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception.O objetivo desta tese é investigar a propriedade do ouro para atuar como proteção em condições normais e como um ativo porto seguro em condições extremas de Mercados de Ações da Europa Central e de Leste, no período entre 2010 e 2020. As análises descritiva e econométrica indicam que o ouro serve como uma proteção forte na República Tcheca, Alemanha, Letônia, Sérvia, Eslováquia, Eslovênia e como uma proteção fraca na Áustria, Croácia, Estônia, Grécia, Lituânia, Romênia, em condições normais de mercado. O ouro é um porto seguro forte na República Tcheca e um porto seguro fraco na Alemanha, Letônia, Sérvia, Eslováquia e Eslovênia. Por fim, com Google Trends, a percepção da crise do investidor é medida para explorar o caráter do ouro, no evento de Cisne Negro. Esta análise sugere que o preço do ouro aumentaria com o aumento da percepção de crise.Fidalgo, Eva SchliephakeVeritati - Repositório Institucional da Universidade Católica PortuguesaNedyalkova, Katerina Panayotova2021-10-15T09:30:07Z2021-04-282021-022021-04-28T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/35563TID:202728897enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:41:05Zoai:repositorio.ucp.pt:10400.14/35563Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:28:52.930470Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
title |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
spellingShingle |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets Nedyalkova, Katerina Panayotova Black Swan event Gold Hedge Safe haven asset Evento Cisne Negro Ouro Proteção Ativo porto seguro Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
title_full |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
title_fullStr |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
title_full_unstemmed |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
title_sort |
Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets |
author |
Nedyalkova, Katerina Panayotova |
author_facet |
Nedyalkova, Katerina Panayotova |
author_role |
author |
dc.contributor.none.fl_str_mv |
Fidalgo, Eva Schliephake Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Nedyalkova, Katerina Panayotova |
dc.subject.por.fl_str_mv |
Black Swan event Gold Hedge Safe haven asset Evento Cisne Negro Ouro Proteção Ativo porto seguro Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Black Swan event Gold Hedge Safe haven asset Evento Cisne Negro Ouro Proteção Ativo porto seguro Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-10-15T09:30:07Z 2021-04-28 2021-02 2021-04-28T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/35563 TID:202728897 |
url |
http://hdl.handle.net/10400.14/35563 |
identifier_str_mv |
TID:202728897 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132007766163456 |