Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon
Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon
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DOI：
10.1016/j.irfa.2015.01.010
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发表时间：
2015-10-01
影响因子：
8.2
通讯作者：
Poti, Valerio
中科院分区：
文献类型：
--
作者：
Bredin, Don;Conlon, Thomas;Poti, Valerio
在市场动荡时期，投资者往往寻求降低与股票和债务等传统投资资产相关的风险。本文针对具有短期和长期视野的投资者研究了黄金的对冲和避险属性。利用小波分析，我们发现，黄金作为一种对冲各种国际股票和债券市场的视野长达一年。黄金在金融危机期间的避险属性进一步确立，黄金被证明是股票投资者长达一年的长期避风港。然而，在20世纪80年代初的经济紧缩期间，人们发现黄金并没有起到安全避风港的作用，而是在一系列范围内与股票呈现出积极的关系。(C)2015 Elsevier Inc. All rights reserved.
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. (C) 2015 Elsevier Inc. All rights reserved.