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:
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
A study of excess volatility of gold and silver
Parthajit Kayal,S. Maheswaran +1 more
TL;DR: In this article, the case of strong path dependency in asset prices from the theoretical and empirical standpoints is discussed, which demonstrates persistence of excess volatility in the gold spot price data that engenders excessive path dependence, whereas it is not the same with silver.
Journal ArticleDOI
Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand
TL;DR: In this article, the authors examined the relationship among the price variables in the Thailand stock market, the foreign exchange market, international gold market, and the crude oil market and found that a significant long-run relationship exists among price variables, so that each asset class acts as a hedge against each other.
Journal ArticleDOI
Can gold hedge the risk of fear sentiments?
TL;DR: In this article , the authors investigated the interaction between fear sentiments and gold price by utilizing the full-sample and sub-sample rolling-window bootstrap causality tests and found that the increase in fear sentiments can promote the rise in gold prices.
Journal ArticleDOI
Spillover effects between commodity and stock markets: A SDSES approach
TL;DR: In this article , a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles was used to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the state of financial markets.
Monetary and fiscal policies variables interaction with stock returns in malaysia
TL;DR: In this paper, the effect of monetary and fiscal policy shocks is examined through a structural VAR model in Malaysia, and the results of the study suggest that oil prices influenced positively to stock returns while gold is used as hedge against the stocks.
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