When times get tough, gold is golden
| Autor: | Nelson Areal, Raquel Sampaio, Benilde Oliveira |
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| Rok vydání: | 2013 |
| Předmět: | |
| Zdroj: | The European Journal of Finance. 21:507-526 |
| ISSN: | 1466-4364 1351-847X |
| DOI: | 10.1080/1351847x.2013.854821 |
| Popis: | We investigate the dynamic behaviour of conditional correlations between the US market, gold and two gold financial proxies using a multivariate dynamic conditional correlation model over different market regimes. A comprehensive period of time is analysed covering approximately 37 years of daily data, from August 1976 to March 2013, as well as a shorter period, of about 15 years, from September 1998 to March 2013. Both periods include the recent sub-prime financial crisis. Market regimes are defined using bull/bear states and alternatively using volatility regimes from a three-state Markov-switching variance model. An index of US mining companies and a value-weighted portfolio of US gold mutual funds are treated as potential proxies for an investment in gold. Two important conclusions emerge from our study. The first is that, even in the context of a dynamic correlation analysis, gold is always a safe haven; negatively correlated with the stock market under adverse market conditions. The second is that, ... |
| Databáze: | OpenAIRE |
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