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

See all articles by Cetin Ciner

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 Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and 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 Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
2,188
Abstract Views
11,638
rank
7,672
PlumX Metrics