This paper focuses on three "safe haven" assets (gold, oil, and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their return co-movements during the last two decades. All financial crises produced significant increases in conditional...

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc's defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing on Multivariate Garch DCC models, the hedging...