Is Gold a Safe Haven? International Evidence revisited

Bulut, Levent and Rizvanoghlu, Islam (2019): Is Gold a Safe Haven? International Evidence revisited.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: gold emerging markets copula tail dependence safe haven
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; F - International Economics > F3 - International Finance > F30 - General; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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