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IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS

Authors: MUSA Dasauki , Obiakor Rowland , EDY-EWOH Uduakobong , OKEDINA Iyabo , Nnaji N.k.

Publication Type: Journal article

Journal: Imo State University Business & Finance Journal

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Abstract

The study applied Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, and Threshold Asymmetric GARCH (T-GARCH)model of Glosten, Jagannathan, and Runkle (1993) to examine if Gold is a safe haven or hedging asset in relation to international stock markets indices of the 5 largest gold consuming counties in the World.Monthly data from 2000-2018 is applied. The result indicates that gold is negatively correlated and not statistically significant with the stock market index of Turkey and Germany. Indicating that the stock market index of Turkey and Germany do not impact the returns on gold, thus Gold can act as a hedging asset. India, China and USA have positive correlation with the returns on gold. Nonetheless, they are not statistically significant at 5% level ofsignificance. There is presence of significant leverage effect. The T-GARCH indicate presence of Asymmetry as positive shock leads to higher volatility compared to negative shocks of the same magnitude.

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MUSA,D. Obiakor,R. EDY-EWOH,U. OKEDINA,I. Nnaji,N. . (2020). IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS, 11 (), 66-66.

MUSA,D. Obiakor,R. EDY-EWOH,U. OKEDINA,I. Nnaji,N. . "IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS" 11, no (), (2020): 66-66.

MUSA,D. and Obiakor,R. and EDY-EWOH,U. and OKEDINA,I. and Nnaji,N. and . (2020). IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS, 11 (), pp66-66.

MUSAD, ObiakorR, EDY-EWOHU, OKEDINAI, NnajiN, . IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS. 2020, 11 ():66-66.

MUSA,Dasauki , Obiakor,Rowland , EDY-EWOH,Uduakobong , OKEDINA,Iyabo , and Nnaji,N.k. . "IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS", 11 . (2020) : 66-66.

M.Dasauki O.Rowland E.Uduakobong O.Iyabo & N.N.k. , "IS GOLD HEDGE, OR SAFE HAVEN ASSET? EVIDENCE FROM INTERNATIONAL STOCK MARKETS" vol.11, no., pp. 66-66, 2020.

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