Gold As an Exchange Rate Hedge: Empirical Study in Malaysia

2013 IEEE Symposium on Business, Engineering and Industrial Applications, ISBEIA 2013 22 - 24 September 2013, Kuching Sarawak, Malaysia

4 Pages Posted: 26 Oct 2016

See all articles by Nur Hafidzah Idris

Nur Hafidzah Idris

UiTM

Nasuhar Ab Aziz

UiTM

Shafinar Ismail

Universiti Teknologi MARA (UiTM) - Faculty of Business and Management

Aqilah Nadiah Md Sahiq

UiTM Melaka

Syukurriyah Idrus

UiTM

Zarinah Yazid

Universiti Teknologi MARA (UiTM) - Faculty of Business and Management

Noor Azzura Mohamed

UiTM

Date Written: September 22-24, 2013

Abstract

The collapse of world currencies had created most of investors and public did not want to keep currency as their reserves. They plan to possess other financial instruments such as commodities and precious metals as a substitute for currencies; and one of it is gold. Gold had been identified as a good hedge for inflation. Besides, the existence of gold as an exchange rate hedge for various currencies had been identified. Nevertheless, none of these examine gold ability as exchange rate hedge with respect to the MYR/USD. Therefore, the objective of this study is to investigate the ability of gold as a hedge in Malaysia context. The study covers 23 years period which from January 1985 to December 2012. A negative relationship between gold return and this exchange rate is indeed found in this study. Thus during the past 28 years, gold has behaved as a hedge for USD in Malaysia.

Keywords: gold; exchange rate; hedge; ARCH; volatility

JEL Classification: A00, C2, C4, C5

Suggested Citation

Idris, Nur Hafidzah and Ab Aziz, Nasuhar and Ismail, Shafinar and Md Sahiq, Aqilah Nadiah and Idrus, Syukurriyah and Yazid, Zarinah and Mohamed, Noor Azzura, Gold As an Exchange Rate Hedge: Empirical Study in Malaysia (September 22-24, 2013). 2013 IEEE Symposium on Business, Engineering and Industrial Applications, ISBEIA 2013 22 - 24 September 2013, Kuching Sarawak, Malaysia, Available at SSRN: https://ssrn.com/abstract=2849297

Nur Hafidzah Idris (Contact Author)

UiTM ( email )

Universiti Teknologi MARA
110 Off Jalan Hang Tuah
Malacca, Malaysia 75300
Malaysia
+6062857150 (Phone)

Shafinar Ismail

Universiti Teknologi MARA (UiTM) - Faculty of Business and Management ( email )

40450 Shah Alam
Selangor
Malaysia

Aqilah Nadiah Md Sahiq

UiTM Melaka ( email )

Zarinah Yazid

Universiti Teknologi MARA (UiTM) - Faculty of Business and Management ( email )

40450 Shah Alam
Selangor
Malaysia

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