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Abstract(s)
No âmbito do Mestrado em Finanças, na modalidade de Dissertação, este trabalho pretende estudar e analisar a evolução do mercado do ouro, no âmbito da tradicional dicotomia entre Safe haven e Hedge, em períodos de maior turbulência dos mercados bolsistas. Como se verá, no que é porventura o maior contributo desta tese, acaba por se colocar em causa, na aplicação empírica, essa dicotomia.
Neste trabalho, é analisada a importância do ouro como ativo, bem como um conjunto variado de fatores que influenciam diretamente o seu comportamento enquanto instrumento. Da mesma forma, foi importante analisar e perceber diversas crises financeiras de forma a compreender a importância do ouro em diversas economias e diferentes culturas. Para analisar e perceber os conceitos analisados foram utilizadas diversas fontes, que permitiram assimilar as diferentes perspetivas da importância de deter ouro, e, ao mesmo tempo, a relevância do mesmo, como um ativo ou como forma de estatuto social.
Para a realização da análise empírica, foram estudados os retornos do ouro e a volatilidade de diferentes índices bolsistas entre o período de 2008 e 2013, bem como algumas volatilidades dominantes no mercado FOREX. No período escolhido verificou-se grande volatilidade. Através da análise de modelos GARCH univariados e multivariados, compreendendo o GARCH-M para aferição da aversão ao risco, concluímos que o ouro é, predominantemente, um safe haven, sem prejuízo de em simultâneo desempenhar em sub-períodos funções de hedge.
This thesis aims at studying and assessing the evolution of the gold market as a Safe Heaven asset or as hedge instrument, in periods of high volatility in stock markets. As we shall discuss, in what is likely to be the most fundamental contribution of this thesis, the dichotomy between hedges and safe havens, as the same asset can play both roles simultaneously. We focus on the relevance of as an asset and study a wide range of factors that directly influence its behavior. Similarly it is important to analyze and understand previous financial crises in order to underpin the importance of gold in different economies and cultures, such as China and India. In order to analyze and understand these concepts, both pieces of news and earlier academic studies are used, which provides an overview of different perspectives about the importance of holding gold, and its role as a form of wealth or as a form of social status. For this study, I have conducted an analysis of the returns of gold in commodity markets, and of their volatility, as well as of the linkages with the volatilities of different stock market indexes between 2008 and 2013, a period of great instability in the stock markets. The conclusion is supported by robust econometric results, which show that gold is a Safe Heaven asset in periods of great stock market volatility, although it can, at the same time, act as a safe haven in such periods.
This thesis aims at studying and assessing the evolution of the gold market as a Safe Heaven asset or as hedge instrument, in periods of high volatility in stock markets. As we shall discuss, in what is likely to be the most fundamental contribution of this thesis, the dichotomy between hedges and safe havens, as the same asset can play both roles simultaneously. We focus on the relevance of as an asset and study a wide range of factors that directly influence its behavior. Similarly it is important to analyze and understand previous financial crises in order to underpin the importance of gold in different economies and cultures, such as China and India. In order to analyze and understand these concepts, both pieces of news and earlier academic studies are used, which provides an overview of different perspectives about the importance of holding gold, and its role as a form of wealth or as a form of social status. For this study, I have conducted an analysis of the returns of gold in commodity markets, and of their volatility, as well as of the linkages with the volatilities of different stock market indexes between 2008 and 2013, a period of great instability in the stock markets. The conclusion is supported by robust econometric results, which show that gold is a Safe Heaven asset in periods of great stock market volatility, although it can, at the same time, act as a safe haven in such periods.
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Keywords
Ouro Safe haven Hedge Gold