Earticle

초록

영어

Gold has similar characteristics with other commodity assets as raw material but at the same time has unique characteristics as a safe-haven asset in crisis periods. From this perspective, the relative value of gold may contain important information about investors’ expectations for future global financial markets. In this study, we comprehensively examine the information content of the relative value of gold. Notably, the Gold-to-Copper ratio demonstrates robust predictive power for short-term (from 3-month to 12-month) stock returns across numerous developed countries and global markets. We evaluate its performance under diverse economic conditions, highlighting heightened predictability during recessions. Additionally, we probe the role of copper price in shaping this relationship, revealing its influence even during economic expansions. Rigorous tests substantiate the Gold-Copper ratio’s consistent predictive capability across various scenarios, leading to significant economic gains.

목차

Abstract
1. Introduction
2. Theoretical Background of Gold Price
3. Data
3.1. Relative Value of Gold as a Return Predictor
3.2 Global Stock Market Data
4. Main Results
4.1. Predictive Regression of Gold Ratios to Excess Stock Returns
4.2. Conditioning on Economic Conditions: The Safe-haven Property of Gold
4.3. Discussion: The Role of Copper
5. Robustness Checks
5.1. Controlling Alternative U.S. Market-Based Predictors
5.2. Controlling Alternative Local Market Predictors
5.3. Out-of-Sample Performance
5.4. Asset Allocation Analysis
6. Conclusion
Reference
Figure
Table

키워드

저자

• Donghoon Kim [ College of Business, Korea Advanced Institute of Science and Technology ]
• Tai-Yong Roh [ Li Anmin Advanced Institute of Economic Research, Liaoning University, No. 66 Chongshan Middle Road, Huanggu District, Shenyang, China ]
• Sun-Joong Yoon [ Dongguk Business School, Dongguk University, Seoul, Republic of Korea ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330