Journal ArticleDOI
Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
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TLDR
The authors investigated the return relations between major asset classes using data from both the US and the UK and found that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.About:Â
This article is published in International Review of Financial Analysis.The article was published on 2013-09-01. It has received 452 citations till now. The article focuses on the topics: Asset allocation & Asset (economics).read more
Citations
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Journal ArticleDOI
Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices
TL;DR: In this paper, the authors investigated whether the global financial crisis (GFC) changed the tail and frequency interdependence between BRICS stock markets and two strategic commodities (oil and gold).
Journal ArticleDOI
Flight-to-quality between global stock and bond markets in the COVID era
TL;DR: In this paper, the authors investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns and find that the two largest asset classes offered diversification to investors during the recent crisis, when they actually needed it the most.
Journal ArticleDOI
The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications
TL;DR: The findings suggest the importance of combining gold and stocks as the best strategy to hedge against stocks risk, especially during financial crises.
Journal ArticleDOI
Safe havens in Islamic financial markets: COVID-19 versus GFC
TL;DR: The authors compared the safe-haven properties of various assets against the major Gulf Cooperation Council (GCC) stock indexes during two periods of financial turmoil, the COVID-19 pandemic and the 2008 Global Financial Crisis (GFC), using a bivariate dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) model.
Journal ArticleDOI
Assessing the inflation hedging of gold and palladium in OECD countries
TL;DR: In this paper, the authors examined the inflation hedging potential of the two most valuable precious metals namely gold and palladium and found that both gold and Palladium provide hedge against inflation in OECD countries notwithstanding the varying results across individual countries.
References
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Book ChapterDOI
Prospect theory: an analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
TL;DR: In this paper, the authors present a critique of expected utility theory as a descriptive model of decision making under risk, and develop an alternative model, called prospect theory, in which value is assigned to gains and losses rather than to final assets and in which probabilities are replaced by decision weights.
Journal ArticleDOI
Prospect theory: analysis of decision under risk
Daniel Kahneman,Amos Tversky +1 more
Journal ArticleDOI
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.
Journal ArticleDOI
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
TL;DR: This paper proposed a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model, which allows for series-specific news impact and smoothing parameters and permits conditional asymmetries in correlation dynamics.
Journal ArticleDOI
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more
TL;DR: In this article, constant and time-varying relations between U.S., U.K. and German stock and bond returns and gold returns were investigated to investigate gold as a hedge and a safe haven.
Related Papers (5)
Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold
Dirk G. Baur,Brian M. Lucey +1 more