The Destruction of a Safe Haven Asset?
|Author(s):||Dirk G. Baur and Kristoffer Glover|
|Date of publication:||September 2012|
|Working paper number:||174|
Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the potential to destroy the safe haven property of gold. The results suggest that an asset cannot be both an investment asset and an effective safe haven asset. This finding has important implications for financial stability since assets are more likely to exhibit excess comovement and volatility in the absence of a safe haven.
|Paper:||Download (Format: PDF, Size: 755 Kb)|
|Comments:||Published as: Baur, D. G. and Glover, K.,, 2012, “The Destruction of a Safe Haven Asset?”, Applied Finance Letters, 1(1),: 8–15.|
Baur, D. G., 2013, "Exchange-Traded Funds on Gold-A Free Lunch?", Working Paper.
Baur, D. G and Glover, K., 2012, "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
Baur, D. G and Glover, K., 2012, "Heterogeneous Expectations in the Gold Market: Specification and Estimation", Journal of Economic Dynamics and Control, 40, 116-133.
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Klement, J., 2015, "Facts and Fantasies About Gold", Working Paper.
O'Connor, F. A., Lucey, B. M., Batten, J. A. and Baur, D. G., 2015, "The Financial Economics of Gold – A Survey", Working Paper.