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Gold Investment in Malaysia: Refuge from Stock Market Turmoil or Inflation-Protector?

Author

Listed:
  • Mohd Fahmi Ghazali*

    (Labuan Faculty of International Finance, Universiti Malaysia Sabah, 87000 Federal Territory of Labuan, Malaysia)

  • Hooi Hooi Lean

    (School of Social Sciences, Universiti Sains Malaysia, 11800 USM Penang, Malaysia)

  • Zakaria Bahari

    (Centre for Islamic Development Management Studies, Universiti Sains Malaysia, 11800 USM Penang, Malaysia)

Abstract

This research aims to analyse the roles of gold as a hedge or safe haven against stock and inflation, simultaneously. The standard TGARCH and quantile techniques in the TGARCH models are proposed. Based on the standard TGARCH model, this study demonstrates that gold generally displays little evidence of a strong hedge property against the stock market and inflation in the full sample (2001-2014). Nevertheless, this study reports some strong hedging roles for local gold (but not international gold) in the shorter sample (2010-2014) during the period during which particular attention was given to the European debt crisis. For the quantile relations, although we can detect some evidence of a strong safe haven in some quantiles, gold, at best, tends to be a weak safe haven during extreme movements in stock return, for both periods. Concerning gold-inflation relationships, this study reveals that gold, at best, is a less viable haven instrument. This study also reveals that various types of gold are essential to determine the hedge and safe haven effects, while gold in various weights only plays a minor role. In conclusion, these results demonstrate that gold only plays a minor role during stock market slumps and inflationary episodes in the context of Malaysia.

Suggested Citation

  • Mohd Fahmi Ghazali* & Hooi Hooi Lean & Zakaria Bahari, 2018. "Gold Investment in Malaysia: Refuge from Stock Market Turmoil or Inflation-Protector?," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 214-224:2.
    • Handle: RePEc:arp:tjssrr:2018:p:214-224
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    References listed on IDEAS

    as
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