The destruction of a safe haven asset?

Baur, DG; Glover, K

The destruction of a safe haven asset?

Baur, DG Glover, K

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Publisher:: Auckland Centre for Financial Research, Auckland University of Technology
Publication Type:: Journal Article
Citation:: Applied Finance Letters, 2012, 1 (1), pp. 8 - 15
Issue Date:: 2012-01

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Field	Value	Language
dc.contributor.author	Baur, DG	en_US
dc.contributor.author	Glover, K https://orcid.org/0000-0002-1518-3482	en_US
dc.date.issued	2012-01	en_US
dc.identifier.citation	Applied Finance Letters, 2012, 1 (1), pp. 8 - 15	en_US
dc.identifier.issn	2253-5799	en_US
dc.identifier.uri	http://hdl.handle.net/10453/23284
dc.description.abstract	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.	en_US
dc.publisher	Auckland Centre for Financial Research, Auckland University of Technology	en_US
dc.relation.ispartof	Applied Finance Letters	en_US
dc.title	The destruction of a safe haven asset?	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	1	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/23284