Volume 16, Issue 3 (Summer 2021)                   J. Mon. Ec. 2021, 16(3): 377-398 | Back to browse issues page

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Ariannejad A, Tehrani R. Study on Gold as a Hedge or Safe Haven for the Stock Market by a Markov Switching Approach. J. Mon. Ec. 2021; 16 (3) :377-398
URL: http://jme.mbri.ac.ir/article-1-527-en.html
1- Department of Financial Management, Kish International Campus, University of Tehran
2- Department of Finance and Insurance, Faculty of Management, University of Tehran
Abstract:   (783 Views)
Although gold is no longer a central cornerstone of the international monetary and financial system, it still attracts considerable attention from researchers and investors. Nowadays, many investors manage their risk with valuable assets such as gold. This paper examines the dynamic relationships between gold and stock markets in the Tehran Stock Exchange. We have applied the Markov switching method to study the role of gold as a hedge or safe haven for the Tehran Stock Exchange risk from 1998 to 2018. The high dependence and low dependence regimes used in the Markov switching model are based on empirical results that show two regimes for all markets under investigation: a low volatility regime and a high volatility regime. The study's findings show that gold can act as a strong hedge and cannot act as a safe haven for risk of The Tehran stock exchange.
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Type of Study: Original Research - Empirical | Subject: Economics
Received: 6 Jan 2021 | Accepted: 7 Jul 2021 | Published: 26 Dec 2021

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