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Gold - A Safe Haven: A quantitative research of gold and its role as a safe haven in Sweden
Södertörn University, School of Social Sciences, Economics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

During stormy weathers ships searched for safe havens to stay until the storm had subsided. In much similarity to these ships, investors on the financial markets search for safe assets when the markets start to shake. What could be considered a safe asset seems to be a never-ending discussion but many points out gold as one. However, no further observations of gold as a safe haven on the Swedish financial market has been made. The purpose of this research is to examine if gold could act as a safe haven in Sweden. The data used in this research is daily returns from OMXS30 and the 10-year Swedish government bond, where all returns also has been denominated in U.S. dollar. Further, statistical model has been used.

The result show that gold potentially could act as a ‘safe haven’ for denominated stock returns but not for bond returns. Further, the result show that gold could act as a hedge for stock and bond return (non-denominated). The study concludes that gold does not act as a safe haven for stocks or bonds in Sweden. However, gold show weak safe haven attributes for denominated stock return.

Place, publisher, year, edition, pages
2019. , p. 46
Keywords [en]
safe haven, gold, stocks, bonds, ARCH, GARCH, GARCH (1, 1)
National Category
Economics
Identifiers
URN: urn:nbn:se:sh:diva-38322OAI: oai:DiVA.org:sh-38322DiVA, id: diva2:1324099
Subject / course
Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2019-06-13 Created: 2019-06-13 Last updated: 2019-06-13Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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