| Summary: | 碩士 === 國立臺北大學 === 金融與合作經營學系 === 106 === Due to the rapid expansion of economic and trade globalization, the cross-border contagious effects caused from negative economic shocks have increased dramatically not only in scale but in velocity. Therefore, risks of investors’ international stock portfolios become more difficult to manage than before. Because gold is characteristic of value storage and has full-time trading in the global market, it is often regarded by market investors and financial media as an appropriate risk-managed asset in the portfolio. Although previous literature has discussed gold's hedge effect and safe haven effect in detailed, it is based on gold physical rather than gold futures. As the trading volume of global gold futures continued to rise, particularly in Asia, the futures market has better ability compared to the physical market in terms of price discovery. This study explores whether the gold futures has better hedge effect than the physical, in addition to safe haven effect and asset alternative effect.
In order to comprehensively understand gold futures and physical’s market coverage ability, the samples of this study are based on the MSCI All Market Index, the MSCI World Index, and the MSCI Emerging Market Index, conducted specific analysis in 16 countries in developed countries and developing countries in Europe, the Americas, and Asia from 2001 to 2017.
There are three main findings in this study. First, when normal price change occurs in the market, both of gold futures and gold physical do not have hedge effect for other countries except for Eurozone industrial countries. However, unlike previous literature that argues that emerging market investors may simply readjust their portfolios towards the average by withdrawing from emerging markets in favor of developed market, benefitted from higher liquidity in the Asian market in recent years, gold futures shows its safe haven effect in emerging markets, particularly in Asia., and local investors have also significantly increased the position of gold futures simultaneously. Secondly, the safe haven effect for gold futures is better than that of gold in the US market; comparatively, only gold physical has safe haven effect in British market. This study believes that the difference may be related to the different development of gold futures and gold physical in their respective markets. Finally, even though gold futures has better price discovery capabilities, it still has no hedge effect, safe haven effect and asset alternative effect in Canada and Australia, and this study also observes that price of gold futures and both two market indices’ co-movement is greater than other countries. This study believes that this phenomenon has something to do with the abundant and well-developed mining industry in these two countries.
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