What Drives Gold Returns? A Decision Tree Analysis

Authors

Anastasios G. Malliaris, Loyola University ChicagoFollow
Mary Malliaris, Loyola University Chicago

Document Type

Article

Publication Date

3-2015

Publication Title

Financial Research Letters

Volume

13

Pages

45-53

Abstract

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.

Comments

Author Posting. © Elsevier Inc 2015. This article is posted here by permission of Elsevier Inc. for personal use, not for redistribution. The article was published in Financial Research Letters, vol. 13, 2015, http://www.sciencedirect.com/science/article/pii/S154461231500032X?via%3Dihub

Recommended Citation

Malliaris, Anastasios G. and Malliaris, Mary. What Drives Gold Returns? A Decision Tree Analysis. Financial Research Letters, 13, : 45-53, 2015. Retrieved from Loyola eCommons, School of Business: Faculty Publications and Other Works, http://dx.doi.org/10.1016/j.frl.2015.03.004

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© Elsevier Inc 2015