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We examine contagion and flight-to-quality phenomena implied by carry strategies. More specifically, we analyze correlation dynamics between returns on a global equity index and returns on an investment strategy with a long position in high-yield and a short position in low-yield markets....
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This paper re-examines gold's role as a tool for investors to manage their portfolio risk. We begin by assessing gold … UK and US equity indices. Next, we apply a Markov-Switching CAPM to assess whether two distinct states exist between gold … one state matches the definition of a Safe Haven from the literature. Using this new approach, we find that gold is …
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