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

Monfort College of Business, University of Northern Colorado; Trinity Business School, Trinity College, Dublin

Brian M. Lucey

Trinity Business School, Trinity College Dublin; 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

Monfort College of Business, University of Northern Colorado ( email )

Kepner Hall
800 17th Street
Greeley, CO 80639
United States
80639 (Fax)

Trinity Business School, Trinity College, Dublin ( email )

Aras an Phiarsaigh
College Green
Dublin, Leinster D2
Ireland

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)

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

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