Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/28940
Autoria: | Vieira, D. S. Carvalho, P. V. Curto, J. Laureano, L. |
Data: | 2023 |
Título próprio: | Gold's hedging and safe haven properties for European stock and bond markets |
Título da revista: | Resources Policy |
Volume: | 85 |
Referência bibliográfica: | Vieira, D. S., Carvalho, P. V., Curto, J., & Laureano, L. (2023). Gold's hedging and safe haven properties for European stock and bond markets. Resources Policy, 85, 103817. https://dx.doi.org/10.1016/j.resourpol.2023.103817 |
ISSN: | 0301-4207 |
DOI (Digital Object Identifier): | 10.1016/j.resourpol.2023.103817 |
Palavras-chave: | Gold market Hedge Safe haven Stock market Bond market |
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. |
Arbitragem científica: | yes |
Acesso: | Acesso Aberto |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Tamanho | Formato | |
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article_96402.pdf | 582,74 kB | Adobe PDF | Ver/Abrir |
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