คุณสมบัติในการเป็นสินทรัพย์ที่ปลอดภัยและความสามารถในการป้องกันความเสี่ยงของโลหะมีค่าต่อตลาดหลักทรัพย์ในภาวะที่ตลาดมีความผันผวนสูง / วสกร ตันติกุล=Safe haven and hedging ability of Precious Metal against The stock Exchange of Thailand in volatility market conditions / Wasakorn Tuntikoon
This research investigates the hedging and safe haven properties of three precious metals that are Gold, Silver, and Platinum during extreme market volatility conditions and crisis periods. Using Garch (1,1) model, I study the relationship between the return of Gold, Silver, and Platinum in Thai baht currency and the return of the stock exchange of Thailand using SET50 Total return index from May 5, 2005 till December 31, 2010. The daily data is collected from Data Stream with a total of 1381 observation and consists of 4 years 6 months and 26 days. The study finds that during the extreme market volatility conditions, all three types of precious metals do not have hedging ability and safe haven asset property. However, during the world financial crisis in 2008 and 2010 and Thailand political crisis in 2008, gold does act as a weak safe haven asset in world financial crisis in 2008 and 2010 and a strong safe haven asset in Thailand political crisis in 2008. In contrast, platinum acts as weak safe haven asset in world financial crisis in 2008 and silver acts as weak safe haven asset in Thailand political crisis in 2008 respectively. In any other periods, all three types of precious metals appear to be co-move with the stock market.
