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Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions

cris.virtual.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtual.author-orcid0000-0001-7655-6046
cris.virtualsource.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.author-orcida7f0f1aa-ae71-4fd2-9b4b-6277b57acdc3
dc.abstract.enThis study examines the safe-haven property of gold during two deep financial crashes: the global financial crisis (GFC) and the coronavirus disease 2019 (COVID-19) pandemic. Applying extreme value theory, we analyze the tail behavior of the returns of 46 stock indices sorted by geographic location and level of market development and then investigate these portfolios with various gold allocations. We focus on changes in the tail thickness of the portfolio return distribution as an effect of an increased gold allocation. The COVID-19 crisis exhibited heavier lower tails of the stock indices than the GFC. During the GFC, gold enabled heavy Fréchet-type tails to change into thin Gumbel-type tails, whereas during the COVID-19 crash, the tails remained heavy, even after hedging. Thus, gold acted as a safe-haven asset, significantly decreasing extreme downside risk during the GFC, but the same result cannot be confirmed for the COVID-19 pandemic.
dc.affiliationWydział Ekonomiczny
dc.affiliation.instituteKatedra Finansów i Rachunkowości
dc.contributor.authorEchaust, Krzysztof
dc.contributor.authorJust, Małgorzata
dc.date.access2025-12-18
dc.date.accessioned2025-12-22T16:02:27Z
dc.date.available2025-12-22T16:02:27Z
dc.date.copyright2022-10-14
dc.date.issued2022
dc.description.accesstimeat_publication
dc.description.bibliographyil., bibliogr.
dc.description.financepublication_nocost
dc.description.financecost0,00
dc.description.if6,5
dc.description.numberDecember 2022
dc.description.points100
dc.description.versionfinal_published
dc.description.volume63
dc.identifier.doi10.1016/j.ribaf.2022.101788
dc.identifier.eissn1878-3384
dc.identifier.issn0275-5319
dc.identifier.urihttps://sciencerep.up.poznan.pl/handle/item/6487
dc.identifier.weblinkhttps://www.sciencedirect.com/science/article/pii/S027553192200174X
dc.languageen
dc.relation.ispartofResearch in International Business and Finance
dc.relation.pagesart. 101788
dc.rightsCC-BY
dc.sciencecloudnosend
dc.share.typeOTHER
dc.subject.ensafe-haven asset
dc.subject.enfat tails
dc.subject.englobal financial crisis (GFC)
dc.subject.enCOVID-19 pandemic
dc.subject.enblock maxima method (BMM)
dc.subject.enextreme value theory (EVT)
dc.titleIs gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions
dc.typeJournalArticle
dspace.entity.typePublication
oaire.citation.volume63