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Title: The timing of the flight to gold: An intra-day analysis of gold and the S\&P500 Authors:  Konstantin Kuck - University of Hohenheim (Germany) [presenting]
Dirk Baur - UWA Business School (Australia)
Abstract: Intra-day gold and S\&P500 data covering the period from 2007 to 2018 are used to investigate when and how fast gold prices react to extreme negative shocks in the equity market. The empirical analysis reveals three interesting features of gold: First, negative 5-min S\&P500 returns smaller than -0.75\% are associated with significant increases of the gold price. That is, we observe a fast reaction of the gold price to extreme equity price declines. Second, gold and equity prices do not co-move on days with extreme open-to-close price declines in the stock market. On these days, the gold price continues to increase after the end of stock trading, suggesting spillovers between the stock and gold markets in presence of extreme conditions. Moreover, equity prices tend to decline gradually, implying that there is time to get out of the equity market and time to get into the gold market. In essence, these findings confirm the safe haven property of gold with respect to equity, also at higher than daily data frequencies. Third, these features found for gold spot price returns are also present in gold futures price returns, which indicates that immediate tangibility seems not to be relevant under extreme conditions.