A comparative analysis of the investment characteristics of alternative gold assets

Pullen, Tim, Benson, Karen and Faff, Robert (2014) A comparative analysis of the investment characteristics of alternative gold assets. Abacus, 50 1: 76-92. doi:10.1111/abac.12023


Author Pullen, Tim
Benson, Karen
Faff, Robert
Title A comparative analysis of the investment characteristics of alternative gold assets
Journal name Abacus   Check publisher's open access policy
ISSN 0001-3072
1467-6281
Publication date 2014-03-01
Sub-type Article (original research)
DOI 10.1111/abac.12023
Volume 50
Issue 1
Start page 76
End page 92
Total pages 17
Place of publication Richmond, VIC, Australia
Publisher Wiley-Blackwell Publishing Asia
Language eng
Formatted 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.
Keyword Bullion
Diversifier
Funds
Gold assets
Hedging
Safe haven
Stocks
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2015 Collection
UQ Business School Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 2 times in Thomson Reuters Web of Science Article | Citations
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Created: Fri, 28 Mar 2014, 23:51:21 EST by Karen Morgan on behalf of UQ Business School