A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets

21 Pages Posted: 16 Sep 2011

See all articles by Tim Pullen

Tim Pullen

University of Queensland

Karen L. Benson

University of Queensland - Business School; Financial Research Network (FIRN)

Robert W. Faff

University of Queensland

Date Written: September 16, 2011

Abstract

Employing daily data over the period 1987-2010, we examine the diversifying, hedging and safe haven properties of gold bullion, gold stocks, gold mutual funds and gold exchange traded funds (ETFs). First, with regard to gold bullion, we document a clear and strong hedging role over a mere diversifying capability. Second, our results highlight that gold stocks, gold mutual funds and gold ETFs tend to be diversifiers. Third, both gold bullion and gold ETFs show support for the safe haven property. However, gold stocks and gold mutual funds display very little evidence of the safe haven characteristic. Consequently, investors who are keen on securing safe haven features of gold investment, cannot generally rely on gold stocks or mutual funds. Instead, they need to take positions directly in bullion or gold ETFs.

Keywords: Diversifier, Hedging, Safe Haven, Gold Assets, Bullion, Stocks, Funds

JEL Classification: G10

Suggested Citation

Pullen, Tim and Benson, Karen L. and Faff, Robert W., A Comparative Analysis of the Investment Characteristics of Alternative Gold Assets (September 16, 2011). Available at SSRN: https://ssrn.com/abstract=1928591 or http://dx.doi.org/10.2139/ssrn.1928591

Tim Pullen

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Karen L. Benson

University of Queensland - Business School ( email )

Brisbane, Queensland 4072
Australia

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

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