Abstract

http://ssrn.com/abstract=1679243
 
 

Citations (3)



 


 



Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates


Cetin Ciner


University of North Carolina at Wilmington

Constantin Gurdgiev


Trinity College, Dublin; Middlebury Institute of International Studies at Monterey (MIIS)

Brian M. Lucey


Trinity Business School, Trinity College Dublin; University of Ljubljana - Faculty of Economics

Jan 25, 2012


Abstract:     
In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on whether the dependencies between the asset classes differ during extreme price movements by using quantile regressions. This analysis provides evidence on whether these asset classes can be considered as safe havens for each other. A noteworthy finding of our study is that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role

Number of Pages in PDF File: 28

Keywords: DCC Garch, Gold

JEL Classification: C52,G12


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Date posted: September 19, 2010 ; Last revised: January 27, 2013

Suggested Citation

Ciner, Cetin and Gurdgiev, Constantin and Lucey, Brian M., Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates (Jan 25, 2012). Available at SSRN: http://ssrn.com/abstract=1679243 or http://dx.doi.org/10.2139/ssrn.1679243

Contact Information

Cetin Ciner
University of North Carolina at Wilmington ( email )
Wilmington, NC 28403
United States
Constantin Gurdgiev
Trinity College, Dublin ( email )
Trinity College
Dublin 2
Middlebury Institute of International Studies at Monterey (MIIS) ( email )
460 Pierce St
Monterey, CA 93940
United States
Brian M. Lucey (Contact Author)
Trinity Business School, Trinity College Dublin ( email )
The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)
University of Ljubljana - Faculty of Economics ( email )
Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia
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