Relação entre liquidez e risco de mercado

: o paradoxo do ouro

Abstract

In this thesis we present a new approach to Safe Haven definition. In particular, we departure from the Baur and Lucey’s (2010) correlation shifts paradigm to identify safe havens, and move to a volatility-based definition, where the idea of a safe haven risk premium, the roles of risk preferences and of flight-to-quality, are recovered. We will test the hypothesis that gold can be regarded as a haven asset for a wide range of assets. To test this we will use the returns of some of the major stock market indexes such as the S&P500, FTSE100, Euronext100, DAX30 and ATHEX. We will test whether gold is also a Safe Haven for 10 years German treasury bonds , 10 years US treasury bonds, EUM index and some exchange rates as USD/EUR, JPY/EUR, GBP/EUR and CHF/EUR. With this work we can see that gold is a Safe Haven to 5 major stock markets, for investors who held their money in euros from the dollar or the Swiss franc, to the sovereign bond market index in Euro zone, and even to the 10 years German treasury bonds.

Date of Award	6 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Manuel Ferreira dos Santos (Supervisor)