Is gold a hedge and safe haven for stock market?

被引：33

作者：

Chen, Ke ^{[1
]}

Wang, Meng ^{[1
]}

机构：

[1] Hunan Univ, Sch Finance & Stat, Changsha, Hunan, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2019年 / 26卷 / 13期

关键词：

Gold; stock market sectors; safe haven; hedge; NONLINEAR CAUSALITY; CRUDE-OIL; BONDS; INVESTMENT; PRICES; EQUITY;

D O I：

10.1080/13504851.2018.1537469

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper aims to examine the hedge and safe haven properties of gold relative to Dow Jones stock industry indices using quantile-GARCH approach. Splitting the sample period into two sub-periods, our results show that the hedge and safe haven properties of gold have a changing nature. In a whole period (1980-2017), gold is not a hedge for Oil&Gas, Basic materials and Utilities; gold is a safe haven for almost all sectors except Technology. While in sub-period I (1980-1995) gold is not a hedge for Oil&Gas but a strong safe haven for all sectors. In sub-period II (1996-2017) gold is not a hedge for Oil&Gas, Basic materials and Utilities, also not a safe haven for Oil&Gas, Basic materials, Utilities, Telecom and Technology.

引用

页码：1080 / 1086

页数：7

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