Hedges and safe havens: an examination of gold and African equity markets

Abstract

Using a quantile-on-quantile regression (QQR) methodology, the study investigates the relationship between gold prices and selected African equity markets under various conditions. It tries to find out if the short-, medium-, and long-term links between gold and stock returns change with frequency and are uneven across quantiles. The research also wants to give useful advice for lowering risk and portfolio diversification. The study looks at how the link between gold and stock returns has changed over time and whether it is the same for important markets in South Africa, Egypt, Morocco, and Tunisia. Using daily data from January 2015 to June 2025, the research deconstructs stock and gold return series into intrinsic mode functions (IMFs) that reflect distinct temporal patterns. By integrating quantile regression analysis, QQR, and ensemble empirical mode decomposition, the research discovers nonlinear, tail-dependent interactions. The findings indicate that gold serves as both a hedge and safe haven in Egypt and Tunisia over short-term horizons, but not in Morocco and South Africa. Over medium-term horizons, gold demonstrates hedging and safe haven properties exclusively in Tunisia, while exhibiting positive associations with equities in Egypt, Morocco, and South Africa. Across long-term horizons, gold consistently shows positive correlations with equities in all four markets, precluding its hedging effectiveness. The results underscore the necessity for market-specific and horizon-sensitive investment strategies in resource-dependent African economies, with particular attention to the Johannesburg Stock Exchange (JSE), whose unique position as Africa’s most developed capital market warrants dedicated portfolio risk management strategies.