This study explores whether metals act as hedges and safe havens for currency investing portfolios. Three widely used currency investment strategies: carry, momentum and value are adopted. The empirical results argue that gold and silver do exhibit hedge and safe haven properties for all three strategies. Silver works as a strong hedge during extreme market conditions. However, these hedge and safe haven properties became weaker after the year 2000. We also find that industrial metals do not work as either hedges or safe havens for carry portfolios.
|Journal||Finance Research Letters|
|Early online date||23 Sept 2017|
|Publication status||E-pub ahead of print - 23 Sept 2017|
- Carry trade
- Safe haven
ASJC Scopus subject areas