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

Abstract : 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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https://hal-rennes-sb.archives-ouvertes.fr/hal-02352004
Contributor : Steven Gouin <>
Submitted on : Wednesday, November 6, 2019 - 4:16:17 PM
Last modification on : Monday, August 24, 2020 - 2:32:13 PM

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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, The Indian Econometric Society, 2019, ⟨10.1007/s40953-019-00163-1⟩. ⟨hal-02352004⟩

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