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

Michis, Antonis, The Systematic Risk of Gold at Different Timescales (April 4, 2018). Available at SSRN: https://ssrn.com/abstract=3156049 or http://dx.doi.org/10.2139/ssrn.3156049

Antonis Michis (Contact Author)

Central Bank of Cyprus ( email )

80 Kennedy Ave
1076 Nicosia
Cyprus

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