Loading...
Please wait, while we are loading the content...
Similar Documents
Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach.
| Content Provider | Europe PMC |
|---|---|
| Author | Madani, Mohamed Arbi Ftiti, Zied |
| Abstract | We investigate gold’s role as a hedge or safe haven against oil price and currency movements across calm and extreme market conditions. For the empirical analysis, we extend the intraday multifractal correlation measure developed by Madani et al. (Bankers, Markets & Investors, 163:2–13, 2020) to consider the dependence for calm and extreme movement periods across different time scales. Interestingly, we employ the rolling window method to examine the time-varying dependence between gold-oil and gold-currency in terms of calm and turmoil market conditions. Based on high frequency (5-min intervals) across the period 2017–2019, our analysis shows three interesting findings. First, gold acts as a weak (strong) hedge for oil (currency) market movements, across all agent types. Second, gold has strong safe-haven capability against extreme currency movements, and against only short time scales of oil price movements. Third, hedging strategies confirm the scale-dependent gold's role in reducing portfolio risk as a hedge or safe haven. Implications for investors, financial institutions, and policymakers are discussed. |
| Related Links | https://europepmc.org/backend/ptpmcrender.fcgi?accid=PMC8566682&blobtype=pdf |
| ISSN | 02545330 |
| Journal | Annals of Operations Research [Ann Oper Res] |
| Volume Number | 313 |
| DOI | 10.1007/s10479-021-04288-6 |
| PubMed Central reference number | PMC8566682 |
| Issue Number | 1 |
| PubMed reference number | 34751200 |
| e-ISSN | 15729338 |
| Language | English |
| Publisher | Springer US |
| Publisher Date | 2021-11-04 |
| Publisher Place | New York |
| Access Restriction | Open |
| Rights License | This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 |
| Subject Keyword | Hedge ratio Intraday Multifractal Non-linearity Optimal portfolio Time scale |
| Content Type | Text |
| Resource Type | Article |
| Subject | Management Science and Operations Research Decision Sciences |
