Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices

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dc.contributor.authorHe, Zhen
dc.contributor.authorO'Connor, Fergal
dc.contributor.authorThijssen, Jacco
dc.date.accessioned2018-10-25T14:10:10Z
dc.date.available2018-10-25T14:10:10Z
dc.date.issued2018-09-20
dc.date.updated2018-10-25T14:04:07Z
dc.description.abstractThis 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.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationHe, Z., O'Connor, F. and Thijssen, J. (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, 60, pp. 30-37. doi: 10.1016/j.irfa.2018.08.010en
dc.identifier.doi10.1016/j.irfa.2018.08.010
dc.identifier.endpage37en
dc.identifier.issn1057-5219
dc.identifier.journaltitleInternational Review of Financial Analysisen
dc.identifier.startpage30en
dc.identifier.urihttps://hdl.handle.net/10468/7053
dc.identifier.volume60en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S105752191830526X
dc.rights© 2018 Elsevier Inc. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 licenseen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/en
dc.subjectGolden
dc.subjectHedgeen
dc.subjectSafe Havenen
dc.subjectCAPMen
dc.subjectBetaen
dc.subjectMarkov-switching modelen
dc.subjectStock marketsen
dc.subjectUKen
dc.subjectUSen
dc.subjectFTSE100en
dc.subjectS&P500en
dc.titleIs gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indicesen
dc.typeArticle (peer-reviewed)en
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