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

28 Pages Posted: 19 Sep 2010 Last revised: 27 Jan 2013

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

Date Written: 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

Keywords: DCC Garch, Gold

JEL Classification: C52,G12

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: https://ssrn.com/abstract=1679243 or http://dx.doi.org/10.2139/ssrn.1679243

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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