A comparative analysis of the investment characteristics of alternative gold assets

Tim Pullen, Karen Benson, Robert Faff

Research output: Contribution to journalArticleResearchpeer-review

15 Citations (Scopus)

Abstract

Employing daily data over the period 1987-2010, we examine the diversifying, hedging and safe haven properties of gold bullion, gold stocks, gold mutual funds, and gold exchange traded funds (ETFs). First, with regard to gold bullion, we document a clear and strong hedging role over a mere diversifying capability. Second, our results highlight that gold stocks, gold mutual funds, and gold ETFs tend to be diversifiers. Third, both gold bullion and gold ETFs show support for the safe haven property. However, gold stocks and gold mutual funds display very little evidence of the safe haven characteristic. Consequently, investors who are keen on securing the safe haven features of gold investment cannot generally rely on gold stocks or mutual funds. Instead, they need to take positions directly in bullion or gold ETFs.

Original languageEnglish
Pages (from-to)76-92
Number of pages17
JournalAbacus
Volume50
Issue number1
DOIs
Publication statusPublished - Mar 2014
Externally publishedYes

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