Resources Policy xxx (xxxx) xxx Please cite this article as: Mohamed Bilel Triki, Abderrazek Ben Maatoug, Resources Policy, https://doi.org/10.1016/j.resourpol.2020.101872 0301-4207/© 2020 Elsevier Ltd. All rights reserved. The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk Mohamed Bilel Triki a, * , Abderrazek Ben Maatoug b a Department of Administration, Community College, University of Bisha, P.O. Box 551, Bisha, 61922, Saudi Arabia b Department of Administration, Faculty of Business, University of Bisha, P.O. Box 551, Bisha, 61922, Saudi Arabia A R T I C L E INFO JEL classifcation: H56 G1 G15 Keywords: Geopolitical risk index Gold price Hedge ratio Stock market MV-GARCH Dynamic copula ABSTRACT The main purpose of this paper is to examine the relationship between the US stock market and the gold price in the presence of geopolitical tensions and conficts by introducing the recent index calculated by Caldara and Iacoviello in 2016, namely the Geopolitical Risk Index. This study highlights the beneft of using gold in the role of hedging and diversifying investment portfolios. We consider the monthly gold price, the S&P500 index, and the Geopolitical Risk Index from January 1985 to December 2018. We employ an MV-GARCH model and dy- namic copula to investigate the return link and volatility spillover between these two markets. The empirical results indicate that the S&P500 correlates less with gold during peaceful periods (i.e., a low GPR index) and more during periods characterized by extreme political events. This indicates that gold is a good diversifer and safe haven, particularly during great tension. We also fnd that the role of gold in hedging against S&P500 volatility is considerable, especially during highly tense periods. 1. Introduction Historically, gold has always been considered a unique raw material thanks to its value-retention property, especially in troubled times. Since the subprime crisis of 2008, we have seen gold prices reach historic levels, so it is attractive to investigate the infuence of this type of event. Today, gold market experts agree that gold is a safe haven and that its demand is infuenced by the risk of extreme loss (or systemic risk). The safe-haven characteristic of gold is refected in changes in its price in times of crisis, as evidenced by several studies (Koutsoyiannis, 1983; Cai et al., 2001; Junttila and Raatikainen, 2017). Our goal will be to deepen our understanding of this popularly held belief in the light of the fnancial literature. Indeed, we cannot talk about gold as a fnancial asset without referring to its safe-haven nature. This characteristic im- plies that gold is greatly sought after a collapse in stock market returns. In other words, uncertainty, which is usually accompanied by high volatility and stock market disengagement, remains the most powerful benefactor of gold prices. The history of the evolution of the stock market shows that episodes of volatility are often followed by calm periods. The intensity of these volatile periods are, however, likely to prompt investors to withdraw from the stock market in favor of other asset classes, such as gold. Similarly, the global situation has a direct impact on the price of this precious metal. When tensions and geopolitical crises arise, the price of gold tends to rise because of its popularity as a safe haven. In this work, we study the link between the volatility of the stock market in the form of the S&P500 index and the volatility of the gold price, combined with geopolitical factors in the form of the Geopolitical Risk Index. A review of the literature in this area guides us in choosing models to assess the degree of this linkage and the infuence that geopolitical factors exert. We endeavor to show and explain how the variation in volatility over time, as well as its transmission, affects wealth-allocation strategies and how the gains of international diversi- fcation could be challenged. During uncertain political times or after an adverse economic event, greater attention is drawn to gold’s safe-haven quality. This metal re- assures people because it is tangible, and it enables hedging against fuctuations in stock market prices and other risks. The gold market, unlike other asset classes, is not exposed to the debts or solvency of counterparties (Smith, 2001). The theoretical orientation toward dealing with the effect of armed conficts and terrorist attacks on stock markets has been developed more specifcally through investor sentiment. When considering terrorist at- tacks as an indicator of mood, this refects in deteriorated investor * Corresponding author. E-mail addresses: mtriki@ub.edu.sa (M.B. Triki), abenmaatouk@ub.edu.sa, abenmaatouk@ub.edu.sa (A. Ben Maatoug). Contents lists available at ScienceDirect Resources Policy journal homepage: http://www.elsevier.com/locate/resourpol https://doi.org/10.1016/j.resourpol.2020.101872 Received 4 November 2019; Received in revised form 7 September 2020; Accepted 8 September 2020