Emerald Article: Financial market risk and gold investment in an emerging market: the case of Malaysia
Mansor H. Ibrahim
To cite this document: Mansor H. Ibrahim, (2012),"Financial market risk and gold investment in an emerging market: the case of Malaysia", International Journal of Islamic and Middle Eastern Finance and Management, Vol. 5 Iss: 1 pp. 25 - 34 Permanent link to this document:
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Financial market risk and gold
investment in an emerging
market: the case of Malaysia
Mansor H. Ibrahim
Market risk and
Department of Economics, Universiti Putra Malaysia, Serdang, Malaysia Abstract
Purpose – The purpose of this paper is to examine the relation between gold return and stock market return and whether its relation changes in times of consecutive negative market returns for an emerging market, Malaysia.
Design/methodology/approach – The paper applies the autoregressive distributed model to link gold returns to stock returns with TGARCH/EGARCH error speciﬁcation using daily data from August 1, 2001 to March 31, 2010, a total of 2,261 observations. Findings – A signiﬁcant positive but low correlation is found between gold and once-lagged stock returns. Moreover, consecutive negative market returns do not seem to intensify the co-movement between the gold and stock markets as normally documented among national stock markets in times of ﬁnancial turbulences. Indeed, there is some evidence that the gold market surges when faced with consecutive market declines.
Practical implications – Based on these...