Journal ArticleDOI
Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
Reads0
Chats0
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:
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
More filters
Journal ArticleDOI
Analysing the gold-stock nexus using VARMA-BEKK-AGARCH and Quantile regression models: New evidence from South Africa and Nigeria
TL;DR: In this paper, the authors examined the nexus between gold and stock for Nigeria and South Africa using VARMA-BEKK-AGARCH (V-B-A) model and Quantile regression (QR) approach.
Journal ArticleDOI
Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs
TL;DR: In this article, the authors used time-frequency analysis to examine directional connectedness between US sector equity ETFs, oil, gold, stock market, and uncertainty factors over the short and long terms.
Journal ArticleDOI
International risk transmission of stock market movements
TL;DR: In this paper, the authors investigated the international risk transmission mechanism between the US and major Asian stock markets, showing that the extreme downside risk transmits between US and Asian markets, and showed that these stock markets are highly integrated in terms of risk transmission.
Journal ArticleDOI
Is gold a hedge or a safe haven? An application of ARDL approach
TL;DR: In this paper, the authors examined the relationship of gold price in Saudi Arabia with key determinants such as the stock market index, oil prices, exchange rate, interest rate and consumer price index (CPI) by application of the autoregressive distributed lag model (ARDL).
Journal ArticleDOI
Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach
Walid Chkili,Walid Chkili +1 more
TL;DR: In this article, the role of gold as a hedge or safe haven for Islamic stock market risk was investigated using the Markov switching approach to investigate whether gold can act as a weak hedge and a strong safe haven against extreme Islamic stock stock market movements.
References
More filters
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