O ouro atua como hedge ou valor refúgio diante de desvalorizações da BM&FBOVESPA?

Abstract

This work analyzes the coverage capacity of gold over extreme variations in the Brazilian stock exchange (BM&FBovespa). For this purpose, we developed a likelihood ratio test based on the dependence structure between gold and eleven stock indexes from BM&FBovespa. We investigated if when these indexes experienced an extreme loss of value, the gold suffers an extreme increase in its value or vice versa. Firstly, based on the extreme value theory analysis (EVA), we identified extreme movements in both markets. Thus, we investigate the relationship between gold and the Brazilian stock market by formulating many propositions about the conditional dependence between them. Using daily quotation of the stock and gold market price for the period between January 2000 and March 2015, we found evidences that confirms that gold acts as weak safe haven against negative returns of seven indexes and acts as hedge for eight of the eleven indexes analyzed. These results have implications for risk management and hedging strategies.