Is gold a hedge or a safe haven asset in times of Black Swan events? Empirical evidence from Central Eastern European Equity Markets

Abstract

The aim of this thesis is to investigate the property of gold to act as a hedge in normal and as a safe haven asset in extreme market conditions in the Central and Eastern European Equity Markets, in the period between 2010 and 2020. The descriptive and econometric analyses indicate that gold serves as a strong hedge in Czech Republic, Germany, Latvia, Serbia, Slovakia, Slovenia and as a weak hedge in Austria, Croatia, Estonia, Greece, Lithuania, Romania, in normal market conditions. Additionally, gold is a strong safe haven in Czech Republic, and weak safe haven in Germany, Latvia, Serbia, Slovakia and Slovenia. Finally, I use Google Trends Platform to measure the investor’s crisis sentiment to further explore the safe haven asset character of gold when a Black Swan event occurs. This ultimate analysis suggests that the price of gold would increase with a rise of the investor’s crisis perception.

Date of Award	28 Apr 2021
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Eva Schliephake (Supervisor)