Financial Market

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  • Topic: Investment, Gold coin, Precious metal
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  • Published : October 22, 2012
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International Journal of Islamic and Middle Eastern Finance and Management
Emerald Article: Financial market risk and gold investment in an emerging market: the case of Malaysia
Mansor H. Ibrahim

Article information:
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:

http://dx.doi.org/10.1108/17538391211216802
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Financial market risk and gold
investment in an emerging
market: the case of Malaysia
Mansor H. Ibrahim

Market risk and
gold investment

25

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...
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