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Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification
Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - In: Empirical economics : a journal of the Institute for … 56 (2019) 3, pp. 1117-1144
Persistent link: https://www.econbiz.de/10012041701
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Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication
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 … efficient for the utilities sector. As a robustness check, we also compare gold to oil and indicate that gold is more efficient … from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between …
Persistent link: https://www.econbiz.de/10011739647
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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
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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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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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019
This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...
Persistent link: https://www.econbiz.de/10011993538
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Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - 2017 - This version: December 2017
This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from...
Persistent link: https://www.econbiz.de/10011906204
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...
Persistent link: https://www.econbiz.de/10011506397
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The COVID-19 outbreak and risk-return spillovers between main and SME stock markets in the Mena region
Al-Nassar, Nassar S.; Makram, Beljid - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-28
This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled...
Persistent link: https://www.econbiz.de/10012804860