Year: 2015
Author: Seetharam, Yudhvir, Bodington, Lauren
Applied Economics Quarterly, Vol. 61 (2015), Iss. 4 : pp. 331–352
Abstract
This study analyses the characteristics of gold to determine its feasibility as a safe haven asset, a diversifier or a hedge, using two principle regression models. The findings show that, for South African investors investing in South African equities or bonds, gold acts as a hedge on average. The findings further demonstrate that for a South African investor, gold does not act as a hedge for international stocks. Last, by analysing the relationship between gold and the stock or bond market, we find that the return for gold is positive on the day that an extreme negative shock occurs in the stock market and is eliminated after two trading days.
JEL Classification: C58, C20, G11, G15
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/aeq.61.4.331
Applied Economics Quarterly, Vol. 61 (2015), Iss. 4 : pp. 331–352
Published online: 2015-12
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 22
Author Details
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https://doi.org/10.1007/s40822-022-00202-y [Citations: 5]