The Systematic Risk of Gold at Different Timescales
16 Pages Posted: 21 Apr 2018
Date Written: April 4, 2018
Abstract
Gold is frequently cited by investors as a financial asset that can be associated with a negative beta coefficient. I investigate this hypothesis by estimating the beta coefficient of gold at different timescales and examining the associated implications for investors with different planning horizons. Estimation is performed using maximal overlap discrete wavelet transforms of gold and stock market returns in four major currencies. The results suggest that gold tends to be associated with a negative beta coefficient when considering long-term investment horizons, and this finding is consistent across markets and currencies.
Keywords: Gold Returns; Systematic Risk; Timescales; Wavelets
JEL Classification: G11; G12; G15
Suggested Citation: Suggested Citation