Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach

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 ) t...

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Vydáno v:Annals of operations research Ročník 313; číslo 1; s. 367 - 400
Hlavní autoři: Madani, Mohamed Arbi, Ftiti, Zied
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York Springer US 01.06.2022
Springer
Springer Nature B.V
Témata:
Analysis
Asset allocation
Business and Management
Combinatorics
Econometrics
Economic aspects
Empirical analysis
Foreign exchange market
Gold
Hedging
Hedging (Finance)
Investments
Operations research
Operations Research/Decision Theory
Original Research
Petroleum
Portfolio management
Securities markets
Sovereign debt
Supply and demand
Theory of Computation
Time dependence
Time series
Tunisia
Time scale
Optimal portfolio
Non-linearity
Hedge ratio
Intraday
Multifractal
ISSN:0254-5330, 1572-9338
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Popis
Shrnutí: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.
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ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-021-04288-6