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Black swan events a...
Black swan events and safe havens: The role of gold in globally integrated emerging markets
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- Bekiros, Stelios (författare)
- European University of Institute, Italy; IPAG Business Sch, France
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- Boubaker, Sabri (författare)
- Champagne School Management, France
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- Nguyen, Duc Khuong (författare)
- IPAG Business Sch, 184 Blvd St Germain, Paris, France; Vietnam Natl Univ, Int Sch, Hanoi, Vietnam
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- Uddin, Gazi Salah (författare)
- Linköpings universitet,Nationalekonomi,Filosofiska fakulteten
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(creator_code:org_t)
- ELSEVIER SCI LTD, 2017
- 2017
- Engelska.
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Ingår i: Journal of International Money and Finance. - : ELSEVIER SCI LTD. - 0261-5606 .- 1873-0639. ; 73, s. 317-334
- Relaterad länk:
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https://mpra.ub.uni-...
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets. (C) 2017 Elsevier Ltd. All rights reserved.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Equity markets; Copulas; Gold; Time-scale analysis
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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