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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

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Persistent link: https://www.econbiz.de/10010407524

Simulating Historical Inflation-Linked Bond Returns

Swinkels, Laurens - 2018

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of …

Persistent link: https://www.econbiz.de/10012934959

Flight-to-Safety and the Risk-Return Trade-Off : European Evidence

Aslanidis, Nektarios - 2019

This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to …

Persistent link: https://www.econbiz.de/10012900712

Investment in Microfinance Equity : Risk, Return, and Diversification Benefits

Briere, Marie - 2018

This paper is the first to draw a global picture of worldwide microfinance equity by taking full advantage of daily quoted prices. We revisit previous findings showing that investors should consider microfinance as a self-standing sector. Our results are threefold: 1) Microfinance has become...

Persistent link: https://www.econbiz.de/10012940516

Risk-Return Trade-Off on Currency Portfolios

Byrne, Joseph - 2018

Unconditional asset pricing models have generally found it challenging to identify evidence ofrisk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors'...

Persistent link: https://www.econbiz.de/10012912982

Reevaluating the Risk Minimization Utility of Islamic Stocks and Bonds (Sukuk) in International Financial Markets

Sifat, Imtiaz; Mohamad, Azhar; Zhang, Heng Chao; … - 2022

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from...

Persistent link: https://www.econbiz.de/10013305934

Sock returns-inflation nexus in Indonesia : evidence from conventional and Islamic stocks

Yahya; Majid, Muhammad Shabri Abdul; Hafasnuddin - In: Entrepreneurial business and economics review : EBER 9 (2021) 4, pp. 131-146

the Islamic stock market of Indonesia provides a full hedge against actual, while the conventional stock market does not …

Persistent link: https://www.econbiz.de/10012800376

The dynamics of Australian stock indices and commodities based on MGARCH-DCC and wavelet techniques

Ahmad Monir Abdullah; Wahab, Hishamuddin Abdul; … - In: Cogent business & management 17 (2022) 1, pp. 1-29

investor who holds a portfolio consisting of Australian conventional and Islamic indices, crude oil, gold, Bitcoin, and the … contribution lies in unveiling an Australian investor's diversification opportunities of a portfolio containing Bitcoin, gold, oil … volatility. The evidence further suggests that Australian investors may benefit from diversification with gold. Nonetheless, the …

Persistent link: https://www.econbiz.de/10014444809

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021

We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...

Persistent link: https://www.econbiz.de/10012549999

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