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Black swan events and safe havens: The role of gold in globally integrated emerging markets
European University of Institute, Italy; IPAG Business Sch, France.
Champagne School Management, France.
IPAG Business Sch, 184 Blvd St Germain, Paris, France; Vietnam Natl Univ, Int Sch, Hanoi, Vietnam.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2017 (English)In: Journal of International Money and Finance, ISSN 0261-5606, E-ISSN 1873-0639, Vol. 73, 317-334 p.Article in journal (Refereed) Published
Abstract [en]

There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets. (C) 2017 Elsevier Ltd. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCI LTD , 2017. Vol. 73, 317-334 p.
Keyword [en]
Equity markets; Copulas; Gold; Time-scale analysis
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-137383DOI: 10.1016/j.jimonfin.2017.02.010ISI: 000399495800005OAI: oai:DiVA.org:liu-137383DiVA: diva2:1096696
Note

Funding Agencies|Jan Wallanders and the Tom Hedelius Foundation

Available from: 2017-05-18 Created: 2017-05-18 Last updated: 2017-05-18

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Uddin, Gazi Salah
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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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  • Other style
More styles
Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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