Gold's hedging and safe haven properties for European stock and bond markets
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/28940 |
Resumo: | Most portfolio managers and risk managers strive to pick assets that lead to efficient financial risk mitigation; among them, gold stands out. This paper provides new insights into the role of gold as both a hedge and a safe haven towards European stock and sovereign bond markets. We base the analysis on evidence spanning the Euro's inception to the COVID-19 pandemic spread across Europe. To capture gold's hedge ability, we use the ADCC-GARCH and DCC-GARCH models, while for testing gold's safe haven property we use OLS regressions for different quantiles. Our results show that gold is a hedge for stocks, particularly after the Lehman Brothers collapse. Gold also shows strong safe haven properties for the most extreme negative returns (1% and 2.5% quantiles), and during specific events, such as the Lehman Brothers collapse, the Greek bailout and the Brexit Referendum. Still, for the COVID-19 pandemic outbreak, the results do not confirm this property. Conversely, for bonds, both hedge and safe haven effects are not strongly evident, with gold characterised, at best, as a weak hedge and safe haven. These findings have portfolio allocation implications for investors in European markets, namely fund and risk managers, by pointing out gold hedging and safe haven attributes. |
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Gold's hedging and safe haven properties for European stock and bond marketsGold marketHedgeSafe havenStock marketBond marketMost portfolio managers and risk managers strive to pick assets that lead to efficient financial risk mitigation; among them, gold stands out. This paper provides new insights into the role of gold as both a hedge and a safe haven towards European stock and sovereign bond markets. We base the analysis on evidence spanning the Euro's inception to the COVID-19 pandemic spread across Europe. To capture gold's hedge ability, we use the ADCC-GARCH and DCC-GARCH models, while for testing gold's safe haven property we use OLS regressions for different quantiles. Our results show that gold is a hedge for stocks, particularly after the Lehman Brothers collapse. Gold also shows strong safe haven properties for the most extreme negative returns (1% and 2.5% quantiles), and during specific events, such as the Lehman Brothers collapse, the Greek bailout and the Brexit Referendum. Still, for the COVID-19 pandemic outbreak, the results do not confirm this property. Conversely, for bonds, both hedge and safe haven effects are not strongly evident, with gold characterised, at best, as a weak hedge and safe haven. These findings have portfolio allocation implications for investors in European markets, namely fund and risk managers, by pointing out gold hedging and safe haven attributes.Elsevier2023-07-05T15:51:59Z2023-01-01T00:00:00Z20232023-07-05T16:50:58Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/28940eng0301-420710.1016/j.resourpol.2023.103817Vieira, D. S.Carvalho, P. V.Curto, J.Laureano, L.info: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:RCAAP2023-11-09T17:32:33Zoai:repositorio.iscte-iul.pt:10071/28940Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:36.547415Repositório 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 |
Gold's hedging and safe haven properties for European stock and bond markets |
title |
Gold's hedging and safe haven properties for European stock and bond markets |
spellingShingle |
Gold's hedging and safe haven properties for European stock and bond markets Vieira, D. S. Gold market Hedge Safe haven Stock market Bond market |
title_short |
Gold's hedging and safe haven properties for European stock and bond markets |
title_full |
Gold's hedging and safe haven properties for European stock and bond markets |
title_fullStr |
Gold's hedging and safe haven properties for European stock and bond markets |
title_full_unstemmed |
Gold's hedging and safe haven properties for European stock and bond markets |
title_sort |
Gold's hedging and safe haven properties for European stock and bond markets |
author |
Vieira, D. S. |
author_facet |
Vieira, D. S. Carvalho, P. V. Curto, J. Laureano, L. |
author_role |
author |
author2 |
Carvalho, P. V. Curto, J. Laureano, L. |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Vieira, D. S. Carvalho, P. V. Curto, J. Laureano, L. |
dc.subject.por.fl_str_mv |
Gold market Hedge Safe haven Stock market Bond market |
topic |
Gold market Hedge Safe haven Stock market Bond market |
description |
Most portfolio managers and risk managers strive to pick assets that lead to efficient financial risk mitigation; among them, gold stands out. This paper provides new insights into the role of gold as both a hedge and a safe haven towards European stock and sovereign bond markets. We base the analysis on evidence spanning the Euro's inception to the COVID-19 pandemic spread across Europe. To capture gold's hedge ability, we use the ADCC-GARCH and DCC-GARCH models, while for testing gold's safe haven property we use OLS regressions for different quantiles. Our results show that gold is a hedge for stocks, particularly after the Lehman Brothers collapse. Gold also shows strong safe haven properties for the most extreme negative returns (1% and 2.5% quantiles), and during specific events, such as the Lehman Brothers collapse, the Greek bailout and the Brexit Referendum. Still, for the COVID-19 pandemic outbreak, the results do not confirm this property. Conversely, for bonds, both hedge and safe haven effects are not strongly evident, with gold characterised, at best, as a weak hedge and safe haven. These findings have portfolio allocation implications for investors in European markets, namely fund and risk managers, by pointing out gold hedging and safe haven attributes. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-07-05T15:51:59Z 2023-01-01T00:00:00Z 2023 2023-07-05T16:50:58Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/28940 |
url |
http://hdl.handle.net/10071/28940 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0301-4207 10.1016/j.resourpol.2023.103817 |
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.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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