Is gold investment a safe haven or a hedge for the Malaysian inflation?
This study examines the long and short term abilities of gold to hedge against inflation in Malaysia during the period from 1971 to 2011. The Johansen cointegration results reveal that there is a long term relationship between gold price and consumer price index. Using the Tsay’s linearity test, the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Universiti Malaysia Sarawak
2017
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| Online Access: | http://psasir.upm.edu.my/id/eprint/62222/ http://psasir.upm.edu.my/id/eprint/62222/1/Is%20gold%20investment%20a%20safe%20haven%20or%20a%20hedge%20for%20the%20Malaysian%20inflation.pdf |
| _version_ | 1848854587791900672 |
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| author | M. S. M., Khair Afham Law, Siong Hook Wan Ngah, Wan Azman Saini |
| author_facet | M. S. M., Khair Afham Law, Siong Hook Wan Ngah, Wan Azman Saini |
| author_sort | M. S. M., Khair Afham |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | This study examines the long and short term abilities of gold to hedge against inflation in Malaysia during the period from 1971 to 2011. The Johansen cointegration results reveal that there is a long term relationship between gold price and consumer price index. Using the Tsay’s linearity test, the findings demonstrate the nonlinear relationship between gold return and inflation rate. Thus, the nonlinear threshold vector error-correction model (TVECM) analysis is employed to analyze the causal relationship and gold’s hedging ability in short term. Gold is proven to be effective as a hedging tool against inflation, but effectiveness varies on different price momentums (based on threshold) and the time period. It is found that during high momentum regimes, gold return is able to hedge against inflation in Malaysia better than during low momentum regimes. |
| first_indexed | 2025-11-15T11:12:15Z |
| format | Article |
| id | upm-62222 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T11:12:15Z |
| publishDate | 2017 |
| publisher | Universiti Malaysia Sarawak |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-622222019-04-23T02:50:36Z http://psasir.upm.edu.my/id/eprint/62222/ Is gold investment a safe haven or a hedge for the Malaysian inflation? M. S. M., Khair Afham Law, Siong Hook Wan Ngah, Wan Azman Saini This study examines the long and short term abilities of gold to hedge against inflation in Malaysia during the period from 1971 to 2011. The Johansen cointegration results reveal that there is a long term relationship between gold price and consumer price index. Using the Tsay’s linearity test, the findings demonstrate the nonlinear relationship between gold return and inflation rate. Thus, the nonlinear threshold vector error-correction model (TVECM) analysis is employed to analyze the causal relationship and gold’s hedging ability in short term. Gold is proven to be effective as a hedging tool against inflation, but effectiveness varies on different price momentums (based on threshold) and the time period. It is found that during high momentum regimes, gold return is able to hedge against inflation in Malaysia better than during low momentum regimes. Universiti Malaysia Sarawak 2017 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/62222/1/Is%20gold%20investment%20a%20safe%20haven%20or%20a%20hedge%20for%20the%20Malaysian%20inflation.pdf M. S. M., Khair Afham and Law, Siong Hook and Wan Ngah, Wan Azman Saini (2017) Is gold investment a safe haven or a hedge for the Malaysian inflation? International Journal of Business and Society, 18 (1). 51 - 66. ISSN 1511-6670 http://www.ijbs.unimas.my/index.php/content-abstract/all-issues/49-vol-18-no-1-2017/312-is-gold-investment-a-safe-haven-or-a-hedge-for-the-malaysian-inflation |
| spellingShingle | M. S. M., Khair Afham Law, Siong Hook Wan Ngah, Wan Azman Saini Is gold investment a safe haven or a hedge for the Malaysian inflation? |
| title | Is gold investment a safe haven or a hedge for the Malaysian inflation? |
| title_full | Is gold investment a safe haven or a hedge for the Malaysian inflation? |
| title_fullStr | Is gold investment a safe haven or a hedge for the Malaysian inflation? |
| title_full_unstemmed | Is gold investment a safe haven or a hedge for the Malaysian inflation? |
| title_short | Is gold investment a safe haven or a hedge for the Malaysian inflation? |
| title_sort | is gold investment a safe haven or a hedge for the malaysian inflation? |
| url | http://psasir.upm.edu.my/id/eprint/62222/ http://psasir.upm.edu.my/id/eprint/62222/ http://psasir.upm.edu.my/id/eprint/62222/1/Is%20gold%20investment%20a%20safe%20haven%20or%20a%20hedge%20for%20the%20Malaysian%20inflation.pdf |