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Abstract

The study aims to analyse the ability of gold to serve as an asset of safe haven against plummeting stock prices during periods of market crisis. The empirical evidences are drawn from the analysis of US stock market over two major episodes of crises i.e. the dot-com crash of 2000-01 and the global financial crisis of 2008-09. The contribution of this research is two-fold. First, aligned with Kristoufek (2013), it has explored a new procedure to identify turbulent periods in the stock market. Second, it offers insights if gold could be used as a safe haven by investors operating at different frequencies.

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