The Role of Gold as a Safe Haven in Vietnam

Abstract

This study is to test the role of gold as a hedge or a safe haven in Vietnam. Based on the model of Baur & McDermott (2010), Baur & Lucey (2010), this study is applied to those stocks with big shares outstanding, VND/USD exchange rates and a portfolio combining the two of them. The study results show gold acts as a strong safe haven for investors in either a stock market or a foreign exchange market in medium volatility. Investors in Vietnam can use gold as a hedging tool for portfolios.

Keywords

Stocks, VND/USD exchange rates, gold, hedge, safe haven

References

[1] Moore, G.H., “Gold Prices and a Leading Index of Inflation”, Challenge, 33 (1990) 4, 52-56.
[2] Tunali, H., “The analysis of relationships between macroeconomic factors and stock returns: Evidence from Turkey using VAR model”, International Research Journal of Finance and Economics, 57 (2010), 169-182.
[3] Mishra, P.K., Das, J.R. and Mishra, S.K., “Gold Price Volatility and Stock Market Returns in India”, American Journal of Scientific Research, 7 (2010), 47-55.
[4] Nisha, N., “Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE)”, Journal of Investment and Management, 4 (2015) 5, 162-170.
[5] Kal, S.H., Arslaner, F. and Arslaner, N., “Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach”, International Research Journal of Finance and Economics, 56406 (2013), 107, 8-16.
[6] Nair., G.K., Choudhary, N. and Purohit, H., “The Relationship between Gold Prices and Exchange Value of US Dollar in India”, Emerging Markets Journal, 5 (2015) 1, 17-25.
[7] Arezki, R., Dumitrescu, E., Freytag, A. and Quintyn, M., “Commodity prices and exchange rate volatility: Lessons from South Africa’s capital account liberalization”, Emerging Markets Review, 19 (2014), 96-105.
[8] Omag, A., “An observation of the relationship between gold prices and selected financial variables in Turkey”, The Journal of Accounting and Finance, 6 (2012), 195-206.
[9] Trương Đông Lộc, “Các nhân tố ảnh hưởng đến sự thay đổi giá của cổ phiếu: Các bằng chứng từ Sở Giao dịch Chứng khoán Thành Phố Hồ Chí Minh”, Tạp chí Khoa học - Đại học Cần Thơ, 33 (2014), 72-78.
[10] Nguyễn Minh Kiều và Nguyễn Văn Điệp, “Quan hệ giữa các biến kinh tế vĩ mô và thị trường chứng khoán, bằng chứng từ Việt Nam”, Tạp chí Khoa học và Công nghệ, 16 (2013), 86-100.
[11] Lê Long Hậu, Lê Tấn Nghiêm và Trần Phương Hiền, “Mối quan hệ giữa các yếu tố kinh tế vĩ mô và thị trường chứng khoán Việt Nam”, Tạp chí Phát triển & Hội nhập, 28 (2016), 38.
[12] Baur, D.G. and Lucey, B.M., “Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold”, The Financial Review, 45 (2010) 2, 217-229.
[13] Baur, D.G. and McDermott, T.K., “Is Gold a Safe Haven? International Evidence”, Journal of Banking & Finance, 34 (2010), 1886-1898.
[14] Beckmann, J., Berger, T. and Czudaj, R., “Does Gold act as a hedge or a safe haven for Stocks? A smooth transition approach”, Economic Modelling, 48 (2014), 16-24.
[15] Coudert, V. and Feingold, H.R., “Gold and financial assets: Are there any safe havens in bear markets?”, Economics Bulletin, 31 (2011) 2, 1613-1622.
[16] Mulyadi, M.S. and Anwar, Y., “Gold versus stock investment: An econometric analysis”, International Journal of Development and Sustainability, 1 (2010) 1, 1-7.
[17] Pasutasarayut, P. and Chintrakarn, P., “Is Gold a Hedge or Safe Haven? A Case Study of Thailand”, European Journal of Scientific Research, 74 (2012) 1, 90-95.
[18] Ghazali, M.F., Lean, H.H. and Bahari, Z., “Is gold a hedge or a safe haven? An empirical evidence of gold and stocks in Malaysia”, International Journal of Business and Society, 14 (2011) 3, 428 - 443.
[19] Fahami, N.A., Haris, S. and Mutalib, H.A., “An Econometric Analysis between Commodities and Financial Variables: The Case of Southeast Asia Countries”, International Journal of Business and Social Science, 5 (2014) 7, 216-223.
[20] Yang, L. and Hamori, S., “Gold prices and exchange rates: A time-varying copula analysis”, Applied Financial Economics, 24 (2014) 1, 41-50.
[21] Cinera, C., Gurdgievb, C. and Lucey, B.M., “Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates”, International Review of Financial Analysis, 29 (2013), 202- 211.
[22] Reboredo, J.C., “Is gold a safe haven or a hedge for the US dollar? Implications for risk management”, Journal of Banking & Finance, 37 (2013) 8, 2665-2676.
[23] Huỳnh Thị Thúy Vy, “Vai trò của vàng đối với sự biến động Việt Nam Đồng: Tiếp cận theo hàm Copula”, Tạp chí Công nghệ Ngân hàng, 144 (2015), 3-10.
[24] Gurgun, G. and Unalmis, I., “Is gold a safe haven against equitymarket investment in emerging and developing countries?”, Finance Research Letters, 11 (2014) 4, 341-348.
[25] Do, G. Q., Mcaleer, M. and Sriboonchitta, S., “Effects of international gold market on stock exchange volatility: Evidence from Asean emerging stock markets”, Economics Bulletin, 29 (2009) 2, 599- 610.
[26] Dee, J., Li, L. and Zheng, Z., “Is gold a hedge or a safe haven? Evidence from inflation and stock market”, International Journal of Development and Sustainability, 2 (2013) 1, 12-27.