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This study investigates gold as a hedge or a safe haven against inflation in four countries. We propose two standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. Gold exhibits considerable evidence of a strong hedge in the US and China. Nevertheless, gold provides shelter at different times and not consistently across countries. With regards to be a safe haven, gold retains its status as a key investment in China. On the other hand, gold only plays a minor role in the UK and India. These findings indicate that gold can secure Chinese investment during the high inflationary periods, while gold is a profitable asset to hold over a long period of time in the US. In contrast, UK and Indian investors should hold a well-diversified portfolio for sustainable return and protection from purchasing power loss. [ABSTRACT FROM AUTHOR]

This study aims to analyze the characteristics of gold as a diversifier, a hedge or a safe haven against the stock market collapse in five countries. We propose the standard and quantile techniques in the volatility models, with the time-varying conditional variance of the regression residuals based on the TGARCH specifications. Gold exhibits considerable evidence of the strong hedge in India and the US and diversified role in China. With regards to its role as a safe haven, gold retains its status as a key investment particularly in a country where gold has a preeminent cultural role, i.e., India, as well as in the US and the UK. On the contrary, gold only plays a minor role in emerging markets like in Malaysia. Therefore, investors in India and the US can use gold to protect against losses in the stock market at all times, whereas in the UK, gold is only viewed as a profitable asset to own during the stock market collapse. Contrariwise, Chinese investors should hold a well-diversified portfolio to earn sustainable returns and offer protection against the stock market collapse. We conclude that the recent worldwide financial crises have increased the investment demand for gold over the last 17 years at least. [ABSTRACT FROM AUTHOR]

This paper studies the role of gold quoted in domestic currency as an inflation hedge in Malaysia from July 2001 to November 2011. Using the Malaysian monthly domestic gold and consumer price index (CPI), we examine the relationship between gold return and inflation in Malaysia via correlation coefficients and linear regression model. This paper finds no significant relationship between gold return and inflation, gold return and expected inflation and gold return with unexpected inflation, which led to the conclusion that domestic gold is not a good hedge against inflation in Malaysia. It is also not an excellent store of value over a relatively short period of time as it is unable to retain its sustainable purchasing power. [ABSTRACT FROM AUTHOR]