Gomis‐Porqueras, Pedro; Shi, Shuping; Tan, David - 2020
In this paper, we explore the effectiveness of gold as a hedging and safe haven instrument for a variety of market … risks. Rather than confining the analysis to specific countries, we treat gold as a global asset and apply the novel … speed of changes in price dynamics that better characterises periods of abnormally high risks. We find that gold is a strong …