Gold as a financial instrument

Pedro Gomis-Porqueras, Shuping Shi, David Tan

Research output: Contribution to journalArticlepeer-review


This paper explores the effectiveness of gold as a hedging and safe haven instrument for a variety of market risks. Rather than confining the analysis to specific countries, we treat gold as a global asset and apply the novel Phillips, Shi and Yu (2015a) and Phillips, Shi and Yu (2015b) methodology to identify extreme price movements. This method accounts for both the level and speed of changes in price dynamics that better characterises periods of abnormally high risks. We uncover safe haven properties for the European sovereign debt crisis, stock market crash, and oil inflationary pressures. We also show that gold exhibits hedging properties when investors are faced with currency, European sovereign debt, stock market, and oil inflation risks. Finally, we demonstrate that gold was a weak safe haven for investors during the 2020 Covid-19 crisis, and highlight the importance of accounting for speed and price levels in the identification of abnormal risk periods.
Original languageEnglish
Article number100218
Pages (from-to)1-15
Number of pages15
JournalJournal of Commodity Markets
Early online date8 Sep 2021
Publication statusPublished - Sep 2022


  • Covid-19
  • Crisis identification
  • Equity markets
  • Gold
  • Hedge
  • Oil inflation
  • Safe haven
  • Sovereign debt


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