Is gold a safe haven for investors?

This thesis uses a high-frequency intra-day dataset consisting of gold, S&P500 and U.S. Treasury Bond futures returns, together with precisely timed macroeconomic announcements, to examine the role of gold futures as a safe haven. We test the effects of macroeconomic announcements on the returns and return volatility of gold futures using least squares regressions and a Component-GARCH model. The comovement between gold, S&P500 and U.S. Treasury Bond futures is examined using a Dynamic Conditional Correlation model and copulas, with both methods incorporating the macroeconomic announcements. We find that many of the macroeconomic announcements have a significant effect on the return and volatility of gold futures, and that our univariate analysis supports the role of gold as a safe haven. The results of our multivariate analysis show that many macroeconomic announcements have a significant influence. Moreover, we find that the comovement between gold and S&P500 is very weak, but that there is some proof for the safe haven role of gold following from our copula estimations. For gold and U.S. Treasury Bond futures we find that both futures move in tandem, which supports gold's role as a safe haven as U.S. Treasury Bonds are considered a generally considered as a safe asset.