Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon |
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| Institution: | 1. Department of Finance and Accounting, Faculty of Management and Economic Sciences of Tunis, Tunis El Manar University, Tunisia;2. Lebow College of Business, Drexel University, United States;3. IPAG Lab, IPAG Business School, France;4. Universidade de Santiago de Compostela, Departmento de Fundamentos del Análisis Económico, Spain;5. Department of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), P.O Box 5701, Riyadh, Saudi Arabia;1. Department of Economics, University of Santiago de Compostela, Avda. Xoán XXIII s/n, 15782 Santiago de Compostela, Spain;2. Post-graduate Programme in Management (PPGA), UNIFACS, Rua Dr. José Peroba 251, 41770-235 Salvador, Brazil;1. School of Business Studies, Trinity College Dublin, Dublin 2, Ireland, UK;2. Business School at York St. John University, Lord Mayor''s Walk, York YO31 7EX, England, UK;3. Faculty of Economics, University of Ljubljana, Kardeljeva ploscad 17, Ljubljana 1000, Slovenia;4. Department of Banking and Finance, Monash University, Caulfield Campus, PO Box 197, Caulfield East, VIC 3145, Australia;5. Kühne Logistics University, Großer Grasbrook 17, 20457 Hamburg, Germany |
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| Abstract: | During times of market turmoil, investors often seek to mitigate risks associated with traditional investment assets such as equities and debt. The hedging and safe-haven properties of gold are examined in this paper for investors with short- and long-run horizons. Utilizing wavelet analysis, we find that gold acts as a hedge for a variety of international equity and debt markets for horizons of up to one year. The safe haven properties of gold during financial crises are further established, with gold shown to act as a safe haven for equity investors for long-run horizons of up to one year. However, during the economic contractions of the early 1980s gold is found not to act as a safe haven, displaying a positive relationship with equities across a range of horizons. |
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