He, Zhen, O'Connor, Fergal and Thijssen, Jacco Johan Jacob orcid.org/0000-0001-6207-5647 (2018) Is gold a Sometime Safe Haven or an Always Hedge for Equity Investors? A Markov-Switching CAPM Approach for US and UK Stock Indices. International Review of Financial Analysis. pp. 30-37. ISSN 1057-5219
Abstract
This paper re-examines gold's role as a tool for investors to manage their portfolio risk. We begin by assessing gold's average relationship to an investor's diversified equity portfolio by applying the basic Capital Asset Pricing Model (CAPM) to UK and US equity indices. Next, we apply a Markov-switching CAPM to assess whether two distinct states exist between gold's relationship with the Market Portfolio. This approach allows the data to determine if two separate states exist and, if so, whether one state matches the definition of a Safe Haven from the literature. Using this new approach, we find that gold is consistently a Hedge, but that no distinct Safe Haven state exists between gold and UK or US stock markets.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Elsevier Inc. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. |
Keywords: | Beta,CAPM,FTSE100,Gold,Hedge,Markov-switching model,S&P500,Safe Haven,Stock markets,UK,US |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 19 Sep 2018 08:50 |
Last Modified: | 08 Feb 2025 00:31 |
Published Version: | https://doi.org/10.1016/j.irfa.2018.08.010 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.irfa.2018.08.010 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:135932 |
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Description: Is Gold a Safe Haven for the Market Portfolio
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