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There has been quite extensive literature about the relationship between inflation and goldmarket returns. Not much research has focused on the various global factors. Thesynchronization of global risk in accordance with financial development and openness hasheightened the interest on the impact of the global factors on gold market returns. The paper studies global macroeconomic factors influencing real gold return using 475monthly observations from January 1, 1974 to July 1, 2013 through the MA-GARCH in meanmodel. The paper finds that the S&P 500 index and trade-weighted dollar index areimportant factors, in addition to the projection onto inflation. Interestingly, MSGSI seemedto be the factor which mostly affects gold market returns. T-Bill (3-month) return is alsoimportant but not much with corresponding magnitude. The results indicate that gold takesthe weak role of hedge against inflation while gold takes the dimm role of safe-haven resortduring the severe economic down-turn periods in monthly frequency. Neither oil return norunemployment rate affects gold return. The order, the direction, or the magnitude ofcandidate variables would be important in model specification for gold return and volatility. The result was also robust with respect to various model specification and the array orderof variables. The findings would shed light on expanding the research about the interactionsbetween the global financial markets and the commodities markets.
