Is gold a hedge and safe haven for stock market
APPLIED ECONOMICS LETTERS(2019)
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.
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关键词
Gold,stock market sectors,safe haven,hedge
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