TY - JOUR
T1 - What Drives Gold Returns? A Decision Tree Analysis
AU - Malliaris, Anastasios G
AU - Malliaris, Mary
AU - Malliaris, A. (Tassos) G.
PY - 2015/3/1
Y1 - 2015/3/1
N2 - The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises, and financial instabilities very vigorously. In this paper we follow a decision tree methodology to investigate the behavior of gold prices using both traditional financial variables such as equity returns, equity volatility, oil prices, and the euro. We also use the new Cleveland Financial Stress Index to investigate its effectiveness in explaining changes in gold prices. We find that gold returns depend on different determinants across various regimes.
AB - The behavior of gold as an investment asset has been researched extensively. For the very long run, that is several decades, gold does not outperform equities. However, for shorter periods, gold responds to fears of inflation, stock market corrections, currency crises, and financial instabilities very vigorously. In this paper we follow a decision tree methodology to investigate the behavior of gold prices using both traditional financial variables such as equity returns, equity volatility, oil prices, and the euro. We also use the new Cleveland Financial Stress Index to investigate its effectiveness in explaining changes in gold prices. We find that gold returns depend on different determinants across various regimes.
KW - Gold prices
KW - Uncertainty
KW - Decision tree analysis
KW - Financial Stress Index
UR - https://ecommons.luc.edu/business_facpubs/80
U2 - 10.1016/j.frl.2015.03.004
DO - 10.1016/j.frl.2015.03.004
M3 - Article
VL - 13
JO - School of Business: Faculty Publications and Other Works
JF - School of Business: Faculty Publications and Other Works
ER -