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Journal of Quantitative Economics

Erschienen in:

25.03.2019 | Original Article

Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit

verfasst von: Syed Jawad Hussain Shahzad, Naveed Raza, David Roubaud, Jose Arreola Hernandez, Stelios Bekiros

Erschienen in: Journal of Quantitative Economics | Ausgabe 4/2019

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Abstract

We examine the safe haven property of gold for stock and bond markets of G-7 countries. In doing so, we use the novel vector autoregressive for value-at-risk and the cross-quantilogram methods. These quantile-dependence measures help to examine how gold returns react to stock/bond returns when the markets are in a bearish state. The gold market is comparatively less sensitive to bond market innovations and more sensitive to stock market innovations. The tail dependence analysis, through cross-quantilogram, indicates that stock/bond returns significantly and positively spillover to the gold markets when both markets are in a bearish state. Furthermore, the findings of time-varying quantile dependence analysis, obtained by recursive sample estimations, are analogous to the full sample results. Hence, the evidence suggests that gold does not act as a safe haven for the stock and bond markets. Implications of the results are discussed.

Vorheriger Artikel Evidence on Relationship Between Economic Growth and Financial Development of Selected Northern Indian States: Using Panel VEC Approach

Nächster Artikel Analysing Changes in Gender Difference in Learning in Rural India over Time

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Gorton et al. (2012) distinguish the concept of ‘safe’ asset from ‘safe haven’ asset by referring to the former as an asset whose value is insensitive to information. For instance, highly rated government bonds and treasuries are insensitive to information and immune to adverse selection in trading, making them reliable investment vehicles in periods of high volatility (Dang et al., 2012; Gorton and Pennacchi, 1990).

According to modern portfolio theory, an investor can improve risk-adjusted returns by holding a well-diversified asset portfolio (Zhang et al., 2017). Moreover, the increasing globalization and integration of financial security markets and market sectors of economies has motivated investors and financial analysts to pay greater attention to commodities (e.g., precious metals and energy) given their weak correlation with other asset classes (e.g. stocks and bonds) and their risk and returns drivers being different from those of stock and bond returns.

We also considered the gold prices denominated in US dollar terms, and the overall conclusions are same. Those results are available from the authors on request.

We also estimate the multivariate VAR model using gold, stocks, and bonds together, and the resulting quantile impulse responses of gold returns to stock and bond returns are shown in “Appendix” Fig. 6. The results are quantitatively the same, and thus the estimates are not reported here for brevity. We are thankful to the anonymous referee for highlighting this point.

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Titel: Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit
verfasst von: Syed Jawad Hussain Shahzad
Naveed Raza
David Roubaud
Jose Arreola Hernandez
Stelios Bekiros
Publikationsdatum: 25.03.2019
Verlag: Springer India
Erschienen in: Journal of Quantitative Economics / Ausgabe 4/2019
Print ISSN: 0971-1554
Elektronische ISSN: 2364-1045
DOI: https://doi.org/10.1007/s40953-019-00163-1

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