Is Gold a Safe Haven? International Evidence Revisited

17 Pages Posted: 25 Mar 2019

See all articles by Levent Bulut

Levent Bulut

Valdosta State University - Department of Economics and Finance

Islam Rizvanoghlu

University of Houston

Date Written: January 3, 2019

Abstract

The literature has not settled down on safe haven property of gold in emerging and developing countries. Therefore, in this study, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000 – November 2018. We employ GARCH-copula approach to estimate lower-tail extreme dependencies of the joint distribution of gold and equity returns. We also introduce a new definition for strong safe haven property of an asset. Our findings indicate that while gold serves as a hedge instrument for all countries in our sample, we got evidence of weak safe haven property for gold, for domestic investors, only in 18 countries, and a strong safe haven asset only in six countries.

Keywords: gold, emerging markets, copula, tail dependence, safe haven

JEL Classification: C58, F30, G10, G15

Suggested Citation

Bulut, Levent and Rizvanoghlu, Islam, Is Gold a Safe Haven? International Evidence Revisited (January 3, 2019). Available at SSRN: https://ssrn.com/abstract=3344945 or http://dx.doi.org/10.2139/ssrn.3344945

Levent Bulut (Contact Author)

Valdosta State University - Department of Economics and Finance ( email )

Valdosta State University Harley Langdale, Jr. Col
Valdosta, GA 31698
United States

Islam Rizvanoghlu

University of Houston ( email )

Houston, TX Texas 77204-5882
United States

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