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Antonis A Michis
''The systematic risk of gold at different time-scales''
( 2019, Vol. 39 No.2 )
Gold is frequently cited by investors as a financial asset that can be associated with a negative beta coefficient. I investigate this hypothesis by estimating the beta coefficient of gold at different time-scales and examining the associated implications for investors with different planning horizons. Estimation is performed using maximal overlap discrete wavelet transforms of gold and stock market returns in four major currencies. The results suggest that gold tends to be associated with a negative beta coefficient when considering long-term investment horizons, and this finding is consistent across markets and currencies.
Keywords: systematic risk; time-scales; wavelets
Manuscript Received : Jul 04 2018 Manuscript Accepted : May 15 2019

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