Evolução do mercado do ouro

: "Safe Haven" em períodos de turbulência

Abstract

This thesis aims at studying and assessing the evolution of the gold market as a Safe Heaven asset or as hedge instrument, in periods of high volatility in stock markets. As we shall discuss, in what is likely to be the most fundamental contribution of this thesis, the dichotomy between hedges and safe havens, as the same asset can play both roles simultaneously. We focus on the relevance of as an asset and study a wide range of factors that directly influence its behavior. Similarly it is important to analyze and understand previous financial crises in order to underpin the importance of gold in different economies and cultures, such as China and India. In order to analyze and understand these concepts, both pieces of news and earlier academic studies are used, which provides an overview of different perspectives about the importance of holding gold, and its role as a form of wealth or as a form of social status. For this study, I have conducted an analysis of the returns of gold in commodity markets, and of their volatility, as well as of the linkages with the volatilities of different stock market indexes between 2008 and 2013, a period of great instability in the stock markets. The conclusion is supported by robust econometric results, which show that gold is a Safe Heaven asset in periods of great stock market volatility, although it can, at the same time, act as a safe haven in such periods.

Date of Award	2015
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Manuel Ferreira dos Santos (Supervisor)