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Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange RatesCetin CinerUniversity of North Carolina at Wilmington Constantin GurdgievTrinity College, Dublin Brian M. LuceyTrinity College, Dublin - School of Business; University of Dublin - Institute for International Integration Studies (IIIS); Glasgow Caledonian University - Division of Accounting & Finance 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 working papers seriesDate posted: September 19, 2010 ; Last revised: January 27, 2013Suggested CitationContact Information
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