Clarifying what is a safe haven : an application to the Gold Market
Autor(a) principal: | |
---|---|
Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/19341 |
Resumo: | In this thesis, a new approach to the notion of safe haven is developed, building on earlier innovative work by Paulos (2015), and departing from the widely used Baur and Lucey (2010) benchmark. It is our view that such a benchmark neglects the flight-to-quality property a safe haven asset should have. As such, we suggest implications for risk preferences in safe haven assets namely in their possible flight to quality property, we develop a method to test such preferences, and we conduct an extensive study, for a large class of assets, on whether or not gold could be perceived as a safe haven with respect to them. Gold was chosen for this application for the purposes of comparison with similar studies in the Baur and Lucey (2010) tradition. The role of volatility is extensively discussed, and explicitly incorporated in the definition of safe haven, shifting from the correlation between returns paradigm. Our analysis finds out that when the safe haven definition is extended in the ways we have suggested, gold is a safe haven against a wide variety of financial assets. This result differs from the existing literature, but makes perfect sense in our sample period (2008-2013), which comprises the financial crisis of 2007-08 and the European debt crisis. The debate between gold as a hedge and as a safe haven is also analysed. The prevailing dichotomy between such roles in the literature is broken, since our approach to safe haven uses volatility measures, whilst the previous paradigm was based on assets’ returns. As such, we find that there were subperiods where gold did perform the role of hedge, but we do not find a contradiction between that and the role of safe haven for the entire sample period. |
id |
RCAP_dea2728f5014b89c0feb098f836edc30 |
---|---|
oai_identifier_str |
oai:repositorio.ucp.pt:10400.14/19341 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Clarifying what is a safe haven : an application to the Gold MarketFlight to qualityGoldHedgeSafe havenVolatilityAtivo de refúgioCobertura de riscoOuroPreferência pela qualidadeVolatilidadeDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this thesis, a new approach to the notion of safe haven is developed, building on earlier innovative work by Paulos (2015), and departing from the widely used Baur and Lucey (2010) benchmark. It is our view that such a benchmark neglects the flight-to-quality property a safe haven asset should have. As such, we suggest implications for risk preferences in safe haven assets namely in their possible flight to quality property, we develop a method to test such preferences, and we conduct an extensive study, for a large class of assets, on whether or not gold could be perceived as a safe haven with respect to them. Gold was chosen for this application for the purposes of comparison with similar studies in the Baur and Lucey (2010) tradition. The role of volatility is extensively discussed, and explicitly incorporated in the definition of safe haven, shifting from the correlation between returns paradigm. Our analysis finds out that when the safe haven definition is extended in the ways we have suggested, gold is a safe haven against a wide variety of financial assets. This result differs from the existing literature, but makes perfect sense in our sample period (2008-2013), which comprises the financial crisis of 2007-08 and the European debt crisis. The debate between gold as a hedge and as a safe haven is also analysed. The prevailing dichotomy between such roles in the literature is broken, since our approach to safe haven uses volatility measures, whilst the previous paradigm was based on assets’ returns. As such, we find that there were subperiods where gold did perform the role of hedge, but we do not find a contradiction between that and the role of safe haven for the entire sample period.Nesta dissertação, é desenvolvida uma nova abordagem ao conceito de ativo de refúgio, com base na intuição inovadora presente em Paulos (2015), e abandonando a referência conceptual dominante na literatura, formalizada por Baur e Lucey (2010). Na nossa perspetiva, essa referência negligencia a propriedade da “preferência pela qualidade” própria dos ativos de refúgio. Deste modo, sugerimos implicações nas preferências dos agentes quanto ao risco que um ativo desta tipologia terá, desenvolvemos uma metodologia para testar essas preferências e conduzimos um amplo estudo, para uma larga classe de ativos, sobre se o ouro pode ou não, de acordo com a nova proposta conceptual, desempenhar a função de refúgio face a estes. O ouro é escolhido para possibilitar a comparação com os resultados de estudos que seguem a tradição de Baur e Lucey (2010). O papel da volatilidade é extensivamente analisado e incorporado de forma explícita na definição de ativo de refúgio, mudando o paradigma face à mera análise da correlação entre retornos. Neste estudo encontramos evidência que demonstra que o ouro é um refúgio face a todos os ativos testados, no âmbito da nossa proposta de conceito. Este resultado empírico difere da literatura existente, mas parece coerente com os eventos do período amostral (2008-2013), que compreende a crise financeira de 2007-08 e a crise das dívidas soberanas na Zona Euro. O debate entre as funções de ativo de refúgio versus elemento de cobertura de risco que o ouro pode desempenhar é também analisado. A dicotomia prevalecente entre as duas funções na literatura é abandonada, na medida em que a nossa definição de ativo de refúgio assenta em volatilidades, enquanto a abordagem dominante assentava na correlação entre taxas de retorno. Assim, na amostra temporal considerada encontramos subperíodos em que o ouro foi um elemento de cobertura de risco, mas este resultado não traduz qualquer contradição com o papel de ativo de refúgio que o ouro desempenha na totalidade o período amostral.Santos, Carlos Manuel Ferreira dosVeritati - Repositório Institucional da Universidade Católica PortuguesaMatos, Ana Maria Aires Correia de2016-03-14T15:07:39Z2015-12-2120152015-12-21T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/19341TID:201463784enginfo: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:RCAAP2023-07-12T17:25:22Zoai:repositorio.ucp.pt:10400.14/19341Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:16:12.294455Repositório 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 |
Clarifying what is a safe haven : an application to the Gold Market |
title |
Clarifying what is a safe haven : an application to the Gold Market |
spellingShingle |
Clarifying what is a safe haven : an application to the Gold Market Matos, Ana Maria Aires Correia de Flight to quality Gold Hedge Safe haven Volatility Ativo de refúgio Cobertura de risco Ouro Preferência pela qualidade Volatilidade Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Clarifying what is a safe haven : an application to the Gold Market |
title_full |
Clarifying what is a safe haven : an application to the Gold Market |
title_fullStr |
Clarifying what is a safe haven : an application to the Gold Market |
title_full_unstemmed |
Clarifying what is a safe haven : an application to the Gold Market |
title_sort |
Clarifying what is a safe haven : an application to the Gold Market |
author |
Matos, Ana Maria Aires Correia de |
author_facet |
Matos, Ana Maria Aires Correia de |
author_role |
author |
dc.contributor.none.fl_str_mv |
Santos, Carlos Manuel Ferreira dos Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Matos, Ana Maria Aires Correia de |
dc.subject.por.fl_str_mv |
Flight to quality Gold Hedge Safe haven Volatility Ativo de refúgio Cobertura de risco Ouro Preferência pela qualidade Volatilidade Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Flight to quality Gold Hedge Safe haven Volatility Ativo de refúgio Cobertura de risco Ouro Preferência pela qualidade Volatilidade Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
In this thesis, a new approach to the notion of safe haven is developed, building on earlier innovative work by Paulos (2015), and departing from the widely used Baur and Lucey (2010) benchmark. It is our view that such a benchmark neglects the flight-to-quality property a safe haven asset should have. As such, we suggest implications for risk preferences in safe haven assets namely in their possible flight to quality property, we develop a method to test such preferences, and we conduct an extensive study, for a large class of assets, on whether or not gold could be perceived as a safe haven with respect to them. Gold was chosen for this application for the purposes of comparison with similar studies in the Baur and Lucey (2010) tradition. The role of volatility is extensively discussed, and explicitly incorporated in the definition of safe haven, shifting from the correlation between returns paradigm. Our analysis finds out that when the safe haven definition is extended in the ways we have suggested, gold is a safe haven against a wide variety of financial assets. This result differs from the existing literature, but makes perfect sense in our sample period (2008-2013), which comprises the financial crisis of 2007-08 and the European debt crisis. The debate between gold as a hedge and as a safe haven is also analysed. The prevailing dichotomy between such roles in the literature is broken, since our approach to safe haven uses volatility measures, whilst the previous paradigm was based on assets’ returns. As such, we find that there were subperiods where gold did perform the role of hedge, but we do not find a contradiction between that and the role of safe haven for the entire sample period. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-12-21 2015 2015-12-21T00:00:00Z 2016-03-14T15:07:39Z |
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/10400.14/19341 TID:201463784 |
url |
http://hdl.handle.net/10400.14/19341 |
identifier_str_mv |
TID:201463784 |
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 |
repository.mail.fl_str_mv |
|
_version_ |
1799131844927553536 |