Gold investment as an inflationary hedge: the Malaysian evidence
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The paper assesses empirically the inflation-hedging properties of gold and, as comparison, of the stock market for Malaysia using montly data from July 2001 to May 2007. The results provide clear evidence that, over the sample period, gold serves as a good inflationary hedge. However, the hedging value seems to be lacking in stock prices. More specifically, from regression analyses, we note that gold provides a good hedge over all investment horizons considered and with better hedging at longer horizons. Moreover, from the VAR-based impulse response functions, the return on gold investment seems to increase immediately in response to inflation shocks. For the stock return, we find no evidence of its significant relation or significant response to inflation regardless of the horizons used to compute stock return and inflation.
Monetary , Gold dinar , Inflation
Ibrahim, M. H. & Sukmana, R. (2009). Gold investment as an inflationary hedge: the Malaysian evidence. In Ahamed Kameel Mydin Meera (Ed.), Real money: money and payment systems from an Islamic perspective (pp. 373-387). Kuala Lumpur, Malaysia: IIUM Press