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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010407524
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10010515402
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Gold, Oil, and Stocks
Baruník, Jozef - 2014
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …
Persistent link: https://www.econbiz.de/10013063358
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - In: International review of economics & finance : IREF 42 (2016), pp. 186-201
Persistent link: https://www.econbiz.de/10011625108
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Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008
Kayral, Ihsan Erdem - 2017
Within the scope of this paper, causalities of the US stock market returns and volatilities on stock market volatilities in Group of 7 (G-7) economies between 2000-2013 have been analysed with Granger causality tests. All volatilities are obtained from conditional variance of returns in stock...
Persistent link: https://www.econbiz.de/10012955993
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Price Jump Indicators : Stock Market Empirics During the Crisis
Novotny, Jan - 2013
We analyze the behavior and performance of multiple price jump indicators across markets and over time. By using high-frequency stock market data we identify clusters of price jump indicators that share similar properties in terms of their performance in that they minimize Type I and Type II...
Persistent link: https://www.econbiz.de/10013078483
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Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets
Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23
sample consists of fve prospective safe-haven assets-gold, bitcoin, the euro, the Japanese yen, and the Swiss franc-and fve … 225. Our fndings are useful for inves‑ tors searching for the best safe-haven assets among gold, bitcoin, and currencies … diferently for gold and the yen; that is, the Japanese yen acts as the strongest safe haven across all stock indices. Bitcoin is …
Persistent link: https://www.econbiz.de/10014541628
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The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia
Kang, Sang Hoon - 2013
This study investigates the effects of volatility spillovers among five Asian stock markets (China, Hong Kong, Korea, Singapore, and Taiwan) and examines how the global financial crisis of 2008 has influenced volatility transmission among Asian stock markets. The results from a VAR(1)-bivariate...
Persistent link: https://www.econbiz.de/10013076925
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Forex and Equity Markets Spillover Effects Among USA, Brazil, Italy, Germany and Canada in the Aftermath of the Global Financial Crisis
Tsiaras, Konstantinos; Simos, Theodore - 2021
In this paper we investigate the spillover effects of FOREX and equity markets for USA, Brazil, Italy, Germany and Canada on the basis of daily data. We test for contagion co-movements for the period 2010-2018 post global financial crisis, using the trivariate AR-diagonal BEKK model. The...
Persistent link: https://www.econbiz.de/10013228332
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Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification
Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - 2017
This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks … reduce their risk. Gold appears to be the most efficient diversifier for stocks of the materials sector and the less … efficient for the utilities sector. As a robustness check, we also compare gold to oil and indicate that gold is more efficient …
Persistent link: https://www.econbiz.de/10011776995