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Is gold always a safe haven?

Author

Listed:
  • Ryan, Michael
  • Corbet, Shaen
  • Oxley, Les

Abstract

This study reexamines the long-held view of gold as a universal safe haven during stock market downturns. Utilising a dataset from 1979 to 2020, we investigate the conditional nature of gold’s safe-haven status with the S&P 500 index, revealing that the specific drivers of market declines determine the extent of gold’s safe-haven status. Notably, gold’s protective efficacy is pronounced during downturns specifically triggered by macroeconomic news but less evident in downturns triggered by other reasons. Our result challenges traditional perceptions and suggests investors adopt a contextual approach to identifying safe haven assets.

Suggested Citation

  • Ryan, Michael & Corbet, Shaen & Oxley, Les, 2024. "Is gold always a safe haven?," Finance Research Letters, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004689
    DOI: 10.1016/j.frl.2024.105438
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    References listed on IDEAS

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    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    2. Gurdgiev, Constantin & Petrovskiy, Alexander, 2024. "Hedging and safe haven assets dynamics in developed and developing markets: Are different markets that much different?," International Review of Financial Analysis, Elsevier, vol. 92(C).
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    4. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Marco C. Sammon, 2021. "What Triggers Stock Market Jumps?," NBER Working Papers 28687, National Bureau of Economic Research, Inc.
    5. Hasan, Md. Bokhtiar & Hassan, M. Kabir & Rashid, Md. Mamunur & Alhenawi, Yasser, 2021. "Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?," Global Finance Journal, Elsevier, vol. 50(C).
    6. Tarchella, Salma & Khalfaoui, Rabeh & Hammoudeh, Shawkat, 2024. "The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods," Research in International Business and Finance, Elsevier, vol. 67(PB).
    7. Salma Tarchella & Rabeh Khalfaoui & Shawkat Hammoudeh, 2024. "The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods," Post-Print hal-04464938, HAL.
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    More about this item

    Keywords

    Gold; Safe haven; Market volatility; Risk management;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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