Abstract
This paper explores the adequacy of precious metals i.e., gold, silver and platinum in hedging risks associated with adverse movements in stock market, decreasing purchasing power of local currency i.e., inflation and depreciating local currency against the US dollar in the US, UK and China for the sample period covering Jan 1990 to Jan 2015. The hedge and safe haven properties of precious metals are studied under the framework of EGARCH model using Baur and Lucey (2010) approach. To investigate the sensitivity of hedging potential for various bearish and bullish conditions of precious metal market we employ the quantile regression approach as proposed in Iqbal (2017). The analysis reveals that gold, silver and platinum can serve as hedge and safe haven against local currency in the UK in all the bearish and bullish scenarios of metal markets. Metals are also found as a safe haven against the Chinese Yuan. We found that the three precious metals do not play the role of safe haven for China against Chinese stock market risk. There is evidence suggesting that platinum hedges inflation risk in the US in various bearish and bullish conditions.
