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Gold, Currency and Bitcoin as Hedge or Safe Haven for Stocks: Evidence from Tehran Stock Exchange (TSE) using Smooth Transition Regression (STR) Models

Document Type : Research Paper

Authors

1 Associate Professor of Economics, Department of Economics and Islamic Banking, Faculty of Economics, Kharazmi University, Tehran, Iran.

2 Ph.D. in Economics and Researcher, Central Bank of the Islamic Republic of Iran, Tehran, Iran.

3 MA in MBA, Kharazmi University, Tehran, Iran.

Abstract

Gold, Currency and Bitcoin as Hedge or Safe Haven for Stocks: Evidence from Tehran Stock Exchange (TSE) using Smooth Transition Regression (STR) Models

This study examines the Hedge and safe haven properties for three alternative assets for stocks in Tehran Stock Exchange including currency, gold coins and bitcoin during the 1394 to 1399 period with common daily time series data based on the nonlinear Smooth Transition STR model. For this purpose, the nonlinear smooth transitions regression model has been estimated in three different cases, and based on the results, these two features have been evaluated for three assets: currency, gold coin and bitcoin against shares in Tehran Stock Exchange. The results of this study show that, firstly, gold coins and bitcoins are poorly Hedge for stocks on the Tehran Stock Exchange, but these two assets are a strong safe haven for stocks in the Tehran Stock Exchange. Second, the results show that foreign exchange assets have both the features of strong Hedge and a strong safe haven for stocks in the Tehran Stock Exchange. The results of this study provide valuable guidance for investors and financial market participants seeking to reduce investment risk as a results of stock price fluctuations.

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References
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Quarterly Journal of Quantitative Economics (JQE)
Volume 21, Issue 4 - Serial Number 83
Vol. 21, No. 4, Winter 2025
March 2025
Pages 220-272
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History
  • Receive Date: 14 January 2022
  • Revise Date: 04 June 2023
  • Accept Date: 09 September 2023
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