The commodity market of emerging markets has over the years been a firm favourite among investors wanting to diversify their holding due to its safe heaven properties. Until recently, such properties have been criticised by academics due to its inability to provide portfolio protection during sentiment induced markets and market uncertainty. To this end, the objective of the study is to examine the effect of investor sentiment on South African commodity market returns during stable and volatile market conditions. In doing so, the study used monthly data for the period March 2007 to January 2024 to construct an investor sentiment index and test it against gold and oil returns. The findings of the Markov regime-switching model revealed that the return of gold is negatively significantly affected by investor sentiment in a bull regime, but oil returns is positively significantly affected by investor sentiment in the same regime. In a bear regime, investor sentiment has a positive significant effect on gold returns but in the same regime investor sentiment has a negative significant effect on oil returns. Moreover, the returns of gold and oil demonstrate bullish behaviour over the sample period. The findings demonstrate that during market uncertainty and sentiment induced markets, investors can incorporate gold in their portfolio to enhance diversification and limit losses, but the incorporation of oil will not yield any safe heaven properties. Similarly, the commodity market demonstrates adaptive behavioural as such financial market authorities must develop policies to reduce the alternating efficiencies caused by market conditions as it leads to miss-pricing and irrational investors.

The aim of this study is to investigate the robust drivers of gold return in Türkiye by using the extreme bounds analysis (EBA). According to findings, economic policy uncertainty, exchange rate, money supply and inflation are found four variables that are highly robust based on both Leamer and Sala-i-Martin models. In addition, house price is robust determinants of gold price as reported by Sala-i-Martin approach. From these results, it emerges that factors mentioned above are robust determinants of gold prices in Türkiye. The results of the study are also clear that spot gold return is driven by local variable more than global factors. This local factors are mostly related to the stance of monetary policy and the outcomes of monetary policy.

The current study explores the impact of global gold price uncertainty on the stock markets of the MIST countries: Mexico, Indonesia, South Korea, and Türkiye. The study examined the crisis periods that started with the COVID-19 pandemic and continued with the Russia-Ukraine war, which caused uncertainty in gold and oil prices. Based on this, the study's data set consists of the daily closing prices between March 11th, 2020, and January 31st, 2023. The obtained data were analyzed using the Least Squares (ICC) and panel quantile regression (PQR) methods. There is a significant positive correlation between oil prices and oil volatility index with stock prices for the economies of Türkiye, Indonesia, and Mexico, and a significant negative correlation between gold prices and gold volatility index with stock prices for developing countries. There is also a significant positive relationship between gold and oil prices and stock prices for the developed country, South Korea's economy. A significant negative correlation has also been proposed between gold and oil volatility indices and South Korean stock prices. This study provides a novel contribution to the literature by examining the impact of simultaneous global crises namely the COVID-19 pandemic and the Russia-Ukraine war—on the stock market indices of MIST countries through the lens of uncertainty in both gold and oil markets. While most existing studies focus on a single commodity or analyze crises in isolation, this research distinguishes itself by investigating the combined effects of two major global shocks and incorporating both price and volatility-based uncertainty indicators. The findings suggest that policymakers should develop country-specific and differentiated financial stability policies by taking into account the uncertainties in gold and oil markets during crisis periods.

Global economic uncertainty has raised concerns among the public, triggering actions to secure economic stability by investing, especially in gold and bitcoin. This study uses a comparative quantitative method, with the aim of comparing the returns, risks, and performance of the two investment instruments. The population in this study is in the form of data on the monthly closing prices of gold and bitcoin for the period of January 2019 – April 2025 which totals 152 data, consisting of 76 data from each variable. Data analysis was carried out by calculating returns, risks, Sharpe, Treynor and Jensen indices. The three indices are widely used performance measurement methods and have included return and risk factors in their measurements. The results of this study show that there is a significant difference between the return of gold and bitcoin, while for the risk variable between the two, there is no significant difference. Performance based on the Sharpe method also showed no significant difference between the two. However, for performance measurement using the Treynor and Jensen methods, significant differences were obtained between the two instruments. Overall, bitcoin offers higher profit potential than gold, even more so for investors who can accept high volatility. However, the decision to choose an investment instrument still depends on the risk profile of each investor.

The research aims to measure the correlations between stock markets returns (Returns of the Standard & Poor's 500 Index (RS&P500) and Returns of the Dow Jones Index (RDJI) and commodity markets returns (Returns of gold (RPG), Returns of U.S. corn (RC) and Returns of soybeans (RS)) for the United States of America, using daily data for the period from January 2, 2015, to November 22, 2024, and by employing the GARCH-M model. The results indicate the returns from financial markets and agricultural commodity markets tend to move in the same direction but at different rates, and that investing in the gold market is considered a safe haven for investment in the financial markets in the United States, while investing in agricultural commodity markets does not reduce risks in the financial markets but rather increases them, as they are positively correlated. The study also found that indirect effects were mostly driven by short time horizons, followed by medium and long time horizons, which highlights the importance of considering the evolving nature of correlations when making asset allocation decisions, as well as their importance for investors, portfolio managers, and government departments (policymakers) with regard to managing risks.

Since its creation in 2008, Bitcoin has often been compared to precious metals due to their shared characteristics as safe havens, hedges, and risk diversification tools. This study uses the DCC-GARCH model to analyze dynamic conditional correlations and volatility spillovers between Bitcoin and the returns of gold, copper, silver, and platinum. The findings reveal persistent volatility and clustering in the returns of both Bitcoin and these metals. There is a one-way volatility spillover from gold to Bitcoin, and from Bitcoin to copper, silver, and platinum. Significant dynamic conditional correlations are observed between Bitcoin and both gold and copper, while no significant correlations are found with silver and platinum. These results provide valuable insights for portfolio diversification strategies and inform policymaker decisions in financial markets.

ABSTRACTIn this study, the GARCH–MIDAS model is utilized to evaluate how predictable oil and energy market uncertainties are in relation to gold return volatility. We examine daily gold returns and monthly energy uncertainty measurements such as oil market uncertainty (OMU) and oil price uncertainty (OPU), as well as measurements of energy market uncertainties such as the global equally weighted energy uncertainty index (GEUI‐EQ), GDP‐weighted global energy uncertainty index (GEUI‐GDP), and country‐specific energy uncertainty indexes for 28 countries—spanning the period from January 1969 to October 2022. We calculate the total connectedness index (TCI) for the country‐specific indexes as a measure of the composite energy uncertainty index. We find that higher uncertainties in the oil and energy markets lead to increased gold volatilities, suggesting that gold can serve as a reliable hedge against oil and energy market uncertainties. Enhanced trading in the gold market raises its volatility as oil and energy market uncertainties increase. Our analysis, both within the sample and out‐of‐sample, supports this conclusion, and our findings remain valid even when alternative measures of oil and energy market uncertainties are considered. Further valuable insights, including the practical implications of our findings, extending beyond the hedging prowess of gold against heightened energy uncertainty, are also provided for practitioners, including investors and policymakers.

This study investigates the effectiveness of gold and Bitcoin as hedging instruments against the rising costs of education and food inflation in Indonesia. Using data from 2009 to 2024, the research employs descriptive and correlational quantitative methods, incorporating volatility analysis and hedging effectiveness models such as the Sharpe ratio and Value-at-Risk. Gold demonstrates stability and consistent performance as a hedge against inflation in education costs, while Bitcoin, despite its volatility, shows potential as a speculative alternative. Food price increases are shown to significantly impact education costs, and this study highlights the need for effective investment strategies to counteract these economic challenges. The findings contribute to a deeper understanding of gold and Bitcoin's roles in mitigating specific forms of inflation, particularly in critical sectors like education and food.

A novel hybrid LMD-SPF forecasting framework for financial time series: Evidence from gold returns

This study examines the co-movement of cryptocurrency market returns across four indices (Bitcoin, Ethereum, Litecoin, and Ripple) and the gold market return, utilizing daily data from August 17, 2016, to June 15, 2022. We examine the connection between the returns of cryptocurrency and gold before and during the Covid-19 epidemic. We employ continuous wavelet analysis, a wavelet method deemed optimal for non-stationary time series, which is delineated into several frequency bands and segmented in the time domain. Our selection of variables is grounded on economic theory and aligns with the problem statement and aims aimed at addressing economic issues. Wavelet coherence analysis revealed a significant level of co-movement among cryptocurrency returns. Nonetheless, the comovement between cryptocurrency returns and gold market returns exhibited a minimal connection throughout the sampled time period. This signifies a lack of opportunities for portfolio diversification across cryptocurrency markets during the COVID-19 pandemic. Our findings will be of significant interest to scholars, policymakers, and investment professionals concerned with the financial ramifications of COVID-19 and cryptocurrencies.

The article investigates the performance of gold as an asset class compared to major financial indices such as the S&P 500 and DAX since the end of the Bretton Woods system in 1971. The study aims to evaluate gold's role as a hedge against inflation and market volatility, assessing its effectiveness as a stable investment during periods of economic uncertainty. The research uses historical data to examine annual and tax-adjusted returns and cumulative abnormal returns to provide a comprehensive analysis of gold's performance relative to these indices. The findings indicate that gold has generally outperformed the S&P 500 and DAX, particularly in times of financial crises such as the 2008 financial meltdown and the COVID-19 pandemic. The tax-adjusted performance further underscores gold's advantages for long-term investors, highlighting its non-inflationary nature and limited availability. While the statistical significance of gold's abnormal returns varies, its positive cumulative abnormal returns (CAR) emphasize its robustness as an investment. The research involves a two-sample t-test to compare the returns of gold with those of the S&P 500 and DAX. The results reveal that gold offers a significant positive return difference compared to the tax-adjusted index returns of these indices, reinforcing its value for portfolio diversification and performance enhancement

Cryptocurrency is a fast-growing asset class that is the talk of the town around the world. In less than 15 years, the cryptocurrency market capitalization was recorded at more than 1 trillion dollars. This research was conducted with a comparative descriptive approach aimed at comparing the return, risk and performance of bitcoin, gold and BCA shares. The data used is the daily closing price of bitcoin, gold (xau-usd) and BCA shares from 2013-2022. In the observation period 8742 data were obtained. The sampling technique of this research is saturated sampling, the return variable is assessed by realized return, risk is assessed by standard deviation, and performance measurement by the Sharpe method. Researchers conducted normality and homogeneity tests and then used the Kruskall-Wallis test. The results showed that the return of bitcoin, gold and BCA shares did not have a significant difference but the risk and performance of bitcoin, gold and BCA shares had a significant difference. Interesting findings that were successfully obtained were the results of the Kruskall-Wallis ranking showing that the average return of BCA shares had the highest position compared to bitcoin and gold, but BCA shares had a risk rating in second place after bitcoin while gold was in third place. The best performance is achieved by bitcoin in the first rank, BCA shares in the second rank and gold in the last position.

The CNN Fear and Greed Index as a predictor of US equity index returns: Static and time-varying Granger causality

Dynamic hedging responses of gold and silver to inflation: A Markov regime-switching VAR analysis∗

Globalization has enabled greater volume and frequency of economic and commercial practices to be implemented worldwide. As a result, with the expansion of the scope of capital expansion, the interdependence of financial markets increases. However, negative developments such as economic crises, epidemics, wars, and uncontrolled migrations cause the relations between markets to weaken and a significant number of investors to turn to commodity investments. There are many academic studies that find that investors turn to commodity investments such as gold and silver in periods of increased economic and financial uncertainty. The aim of the study is to examine the possible correlation between selected global stock markets and gold and silver futures with time-series analyses. In the period between January 2014 and May 2024, possible relationships between the monthly returns of selected global stock indices and the monthly index returns of gold and silver futures were examined according to the Autoregressive Distributed Lag Bound Test (ARDL) Method. By calculating the error correction coefficients, it has been determined how long it takes to restore the balance in case the balance between the stock markets and commodity markets is disrupted. As a result of the research, it was determined that there is a long-term cointegration relationship between gold and silver futures index returns and selected global stock index returns. In the case of a short-term imbalance in the relationship between the yields of selected global indices and the index returns of gold and silver-term transactions, the balance was recovered within 0.9042 months for the index return of gold-term operations and 0.6549 months for the index return of silver-term operations.

Using data that cover the annual period from 1258 to 2023, we studied the link between real gold returns and climate risks. We documented a positive contemporaneous link and a negative predictive link. Our findings further show that the predictive link historically gave rise to significant out-of-sample forecasting gains. The positive contemporaneous link is consistent with the view that investors viewed gold as a safe haven in times of elevated climate risks. The negative predictive link, in turn, is consistent with an overshooting scenario in which the real gold price overshot in response to climate risks, only to return subsequently to a lower value. Our findings should provide important implications for investors and policymakers, given that our analysis covered the longest possible data sample involving the gold market, and hence, was independent of any sample selection bias.

In a free market economy, stock market indices are influenced not only by national economic developments, but also by economic indicators such as gold, exchange rates, and oil. It is important to consider these indicators when analyzing the returns of companies traded on the stock exchange. Internal factors that impact stock market returns include the company's estimated earnings and changes in the company's financial structure. External factors include macroeconomic variables such as exchange rates, interest rates, gold prices, and Gross Domestic Product (GDP). A study analyzed the relationship between the returns of energy companies traded on KASE and the KASE index, exchange rate, and gold return during the period of 01.01.2023-01.04.2024 (328 trading days) using the ARDL Bounds Value Approach. The research findings indicate that the stock market composite index, foreign exchange, and gold returns have a long-term effect on the returns of energy companies. Particularly, the long-term effect of the stock market composite index return is found to be significant and positive for all three assets. Additionally, the effect of companies' past values has been observed as negative. According to the error correction model analysis, a key finding is that shocks to company returns will reach equilibrium in a short time, approximately one trading day. These results can provide decision support, especially for investors, when investing in energy companies.

The objective of this study is to analyze the spillover effects among the returns of oil, gold, the stock market, and exchange rates in Thailand. Using the time-varying parameter vector autoregression model (TVP-VAR) with extended joint connectedness and data from April 2002 to March 2024, our analysis reveals a moderate level of the dynamic linkage among these returns. We observe that the dynamic connectedness among all returns varies over time, influenced by global economic events and country situations. Notably, in Thailand's landscape, stock market and gold returns act as net shock transmitters, with the stock market exhibiting the highest volatility among all variables, while oil and exchange rate markets function as net recipients. These insights significantly contribute to understanding asset and commodity markets and offer valuable policy implications for effectively managing these markets.

Abstract In this article, multi‐scale LPPLS confidence indicator approach is used to detect both positive and negative bubbles at short‐, medium‐, and long‐term horizons for the stock markets of the G7 and the BRICS countries. This enables detecting major crashes and rallies in the 12 stock markets over the period of the 1st week of January, 1973 to the 2nd week of September, 2020. Similar timing of strong (positive and negative) LPPLS indicator values across both G7 and BRICS countries was also observed, suggesting interconnectedness of the extreme movements in these stock markets. Next, these indicators were utilized to forecast gold returns and its volatility, using a method involving block means of residuals obtained from the popular LASSO routine, given that the number of covariates ranged between 42 and 72, and gold returns demonstrated a heavy upper tail. The finding was, these bubbles indicators, particularly when both positive and negative bubbles are considered simultaneously, can accurately forecast gold returns at short‐ to medium‐term, and also time‐varying estimates of gold returns volatility to a lesser extent. The results of this paper have important implications for the portfolio decisions of investors who seek a safe haven during boom‐bust cycles of major global stock markets.

ABSTRACTThis paper examines the co‐jump transmission in 20 commodity futures returns in the United States using co‐jump network models. Specifically, it reveals co‐jumping behavior in both static and time‐varying settings, considering the overall commodity markets and various commodity groups separately, which helps us understand the dynamic changes in co‐jump dependencies at the overall and sector levels. The main results reveal that co‐jump heterogeneity exists among commodities but is generally more apparent within each commodity group, and co‐jumps vary over time. Gold exerts the strongest influence, with many commodity futures being influenced by the jumps behavior in gold returns. During the COVID‐19 outbreak and the Russia–Ukraine war, the energy group ranks highest in terms of co‐jump network centrality. Our empirical analysis highlights the portfolio performance and risk reduction, and an additional examination shows that centrality information from the co‐jump network contains a highly and statistically forecasting power for US stock market volatility.