Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit - Rennes School of Business Access content directly
Journal Articles Journal of Quantitative Economics Year : 2019

Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit


We examine the safe haven property of gold for stock and bond markets of G-7 countries. In doing so, we use the novel vector autoregressive for value-at-risk and the cross-quantilogram methods. These quantile-dependence measures help to examine how gold returns react to stock/bond returns when the markets are in a bearish state. The gold market is comparatively less sensitive to bond market innovations and more sensitive to stock market innovations. The tail dependence analysis, through cross-quantilogram, indicates that stock/bond returns significantly and positively spillover to the gold markets when both markets are in a bearish state. Furthermore, the findings of time-varying quantile dependence analysis, obtained by recursive sample estimations, are analogous to the full sample results. Hence, the evidence suggests that gold does not act as a safe haven for the stock and bond markets. Implications of the results are discussed.
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hal-02352004 , version 1 (06-11-2019)



Syed Jawad Hussain Shahzad, Naveed Raza, David Roubaud, Jose Arreola Hernandez, Stelios Bekiros. Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit. Journal of Quantitative Economics, 2019, ⟨10.1007/s40953-019-00163-1⟩. ⟨hal-02352004⟩
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