| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 102 === The aim of this paper is to examine whether the gold in the emerging stock markets is a hedge or a safe haven Instrument. Besides, this research also tests whether gold can improve performance of stock portfolio in rising stock market. The daily and monthly samples of 16 countries in emerging markets stock index and gold price are from January 1994 to December 2013. The methodology used in this research is based on Baur and McDermott (2010). The empirical results are shown as follow: First, during a shorter period of investment time in the Mexico financial crisis and a longer period of investment time in the Argentina financial crisis, gold investment cannot hedge against the stock market risk. During a shorter period of investment time in the global financial crisis and a longer period of investment time in the Asian financial crisis, gold neither can be the safe haven in the affected countries. Second, in down market condition, gold provide a hedge against risk in stock portfolio over relatively long interval. Third, in up market condition, gold investments can improve the overall return on stock portfolio over a shorter investment interval. Finally, gold markets are asymmetric related to stock markets.
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