The price of ethics: Liquidity and safe haven properties of responsible physical gold ETPs

This paper examines the liquidity-resilience trade-off of Responsible Physical Gold ETPs compared to conventional physical gold investment vehicles. While gold is traditionally viewed as a uniform safe-haven asset, we identify a systematic “Price of Ethics” characterized by significantly higher bid-ask spreads for ethical vehicles. Using High-Dimensional Fixed Effects (HDFE) and Propensity Score Matching (PSM), the findings suggest that this responsibility premium is associated with differentiated resilience during systemic shocks. While conventional gold exhibits heightened sensitivity to bond market volatility (MOVE), Responsible Gold exhibits characteristics of a buffer, showing a positive net return response and a simultaneous surge in trading volume. Our analysis further reveals a maturation shift: the liquidity of Responsible Gold ETPs reflects a stable structural premium as the market moves away from transitory attention shocks, while the association with thematic ESG attention reverses, transitioning from initially widening spreads to compressing them as ethical mandates become embedded in market dynamics. Robustness checks using the Amihud ratio confirm that while Responsible Gold commands a transaction premium, it maintains market depth. Overall, our results suggest that Responsible Gold ETPs function as specialized defensive instruments, where higher transaction costs are balanced by enhanced price stability during systemic shocks.