Beyond the Safe Haven: State- and Frequency-Dependent Connectedness of Gold, Oil, Currency, and Equity Markets

This study examines the state- and frequency-dependent connectedness among crude oil, gold, the U.S. dollar, and the Thai equity market. Using daily data from 1 February 2008 to 31 December 2025, we combine quantile connectedness with frequency-domain decomposition to identify how market transmission changes across extreme and normal states and over short- and long-run horizons. The results reveal pronounced state dependence: system connectedness is substantially stronger in both the lower and upper tails than around the median. Gold emerges as an important net transmitter in both extreme states, although its transmission leadership changes across frequencies. In the lower tail, SET dominates short-run transmission while oil becomes the principal long-run transmitter; in the upper tail, USD leads short-run transmission whereas SET dominates at longer horizons. Most importantly, Gold–SET connectedness is negligible under normal conditions but rises sharply in both tails and remains strongly bidirectional. These findings do not support an unconditional interpretation of gold as a universally effective safe haven. Its diversification role is conditional on market state, transmission direction, and investment horizon. The results highlight the importance of state- and horizon-specific information for portfolio risk management and financial-market monitoring.