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Gold price movements in selected currencies: wavelet approach

Author

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  • Mohamad, Sharifah Fairuz Syed
  • Masih, Mansur

Abstract

Investment in gold has been in demand for the past few years especially in hedging strategies. At the same time, various calls for gold to go back to its historical function even before the coming of Islam have been popular among Islamic scholars due to its characteristic of having intrinsic value as compared to the fiat money enhancing the argument for those supporting gold as a currency. Many studies have been dedicated to the relationships between gold and various commodities and suggesting gold as a hedge against the dollar. This study intends to see the relationship of selected currencies in the price of gold to see the movements and how gold has been performing in different sectors. The wavelet approach is used to show the different movements of paired currencies (US index-US Gold, US Gold-Euro Gold, US Gold-Ringgit Gold, and Euro Gold-Pound Gold) in terms of their gold price in different time horizons (time scales). The findings of the study are of benefit to gold investors especially for diversification and investment purposes.

Suggested Citation

  • Mohamad, Sharifah Fairuz Syed & Masih, Mansur, 2013. "Gold price movements in selected currencies: wavelet approach," MPRA Paper 62347, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:62347
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    File URL: https://mpra.ub.uni-muenchen.de/62347/1/MPRA_paper_62347.pdf
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    References listed on IDEAS

    as
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    3. Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
    4. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    5. Shawkat M.Hammoudeh & Yuan Yuan & Michael McAleer, 2010. "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies," Working Papers in Economics 10/33, University of Canterbury, Department of Economics and Finance.
    6. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
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    More about this item

    Keywords

    gold; US index; US dollar; Euro; Pound; Ringgit;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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