Artikel
Clarifying the response of gold return to financial indicators: An empirical comparative analysis using ordinary least squares, robust and quantile regressions
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a statistical test that allows for multiple structural changes and find that the relationship between gold return and some key financial indicators changed three times throughout the sample period. According to my empirical analysis of the whole sample period, I find that: (1) the gold return rises significantly if stock returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises when general financial market conditions tighten; (4) gold and crude oil prices generally move toward the same direction; and (5) gold and the US dollar have an almost constant negative correlation. Looking at each sample period, (1) and (2) are remarkable in the period covering the global financial crisis (GFC), suggesting that investors divested from stocks as a risky asset. On the other hand, (3) is a phenomenon observed during the sample period after the GFC, suggesting that it reflects investors' behavior of flight to quality.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 1 ; Pages: 1-18 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Portfolio Choice; Investment Decisions
International Financial Markets
Commodity Markets
- Thema
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gold return
asymmetric dependence
financial market stress
robust regression
quantile regression
structural break
flight to quality
- Ereignis
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Geistige Schöpfung
- (wer)
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Miyazaki, Takashi
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2019
- DOI
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doi:10.3390/jrfm12010033
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Miyazaki, Takashi
- MDPI
Entstanden
- 2019
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