Hedging and safe haven function of Gold exchange traded fund against market selected
Hedging and Safe Haven Function of Gold Exchange Traded Fund Against Market Selected
Subject Areas : Financial Knowledge of Securities Analysis
mahdi shaerattar
1
,
Akbar Mirzapour
2
*
,
beitollah Akbari moghadam
3
1 - Ph.D. Student of economics, Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran.
2 - Assistant Professor of Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran (Corresponding Author).
3 - Associate Professor of Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran
Keywords: Gold exchange traded fund, Hedge, Safe haven, Smooth transition regression.,
Abstract :
Considering the increasing but small growth of gold ETFs in Iran, the greater understanding and recognition of these funds as one of the tools available in the capital market will have a significant contribution in attracting stray liquidity and controlling inflation in the economy. Explaining the effects of hedging and safe haven function of gold ETFs against other financial assets has a significant effect on the management of the investment portfolio and the timely reaction of investors in entering and exiting the gold market. This article examines whether gold exchange traded fund in Iran have a hedge or safe haven function against stock and dollar markets or not? In this paper, the smooth transition regression model is used considering the generalized autoregressive conditional heteroscedasticity for error sentences. In order to achieve this goal, the weekly data of returns of gold ETF, stock and dollar markets in Iran during the period from June 2017 to October 2023 have been used. The results showed that the gold ETF is a strong hedge for the stock market in Iran, but it is not a strong safe haven for this market. Also, the gold ETF is not a strong risk hedge and safe haven for the dollar market in Iran, which can be attributed to the insufficient knowledge of investors about this financial instrument.