This study analyses the correlation of stock and bond indices for eight developed countries. We compare a country's stock-bond linkages with cross-country linkages and find that the former exhibit a negative trend in contrast to the positive trend observed for cross-country stock market and bond...

Gold traditionally has been used as a store of value and an inflation hedge. More recently, gold is also viewed as a hedge against uncertainty and a safe haven. This paper demonstrates that many properties regularly associated with gold are only valid in a simple regression framework but...

The increase in the price of gold between 2002 and 2011 appears to be a candidate for a potential asset price ‘bubble’, suggesting that chartists (feedback traders) were highly active in the gold market during this period. Hence, this paper develops and tests empirically several models...

This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn...

This paper studies the spread of the Global Financial Crisis of 2007–2009 from the financial sector to the real economy by examining ten sectors in 25 major developed and emerging stock markets. The analysis tests different channels of financial contagion across countries and sectors and finds...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...

The copula function defines the degree of dependence and the structure of dependence. This paper proposes an alternative framework to decompose the dependence using quantile regression. We demonstrate that the methodology provides a detailed picture of dependence including asymmetric and...