Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries

Autor:	Walid Chkili
Rok vydání:	2016
Předmět:	050208 finance Financial economics 05 social sciences Equity (finance) Stock portfolio 0502 economics and business Econometrics Economics Business Management and Accounting (miscellaneous) Safe haven 050207 economics Hedge (finance) Finance Stock (geology)
Zdroj:	Research in International Business and Finance. 38:22-34
ISSN:	0275-5319
DOI:	10.1016/j.ribaf.2016.03.005
Popis:	This paper examines the dynamic relationships between gold and stock markets using data for the BRICS counties. For this purpose, we estimate the Asymmetric DCC model for weekly stock and gold data. Our main objective is to examine the time-varying correlations between the two assets and to check the effectiveness of gold as a hedge for equity markets. The empirical results reveal that the dynamic conditional correlations switch between positive and negative values over the period under study. These correlations are low to negative during the major financial crises suggesting that gold can act as a safe haven against extreme market movements. We also evaluate the implications for portfolio diversification and hedging effectiveness for the gold/stock pairs. Our findings suggest that adding gold to a stock portfolio enhances its risk-adjusted return.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6a599f2741de2b4a06c9c9e01854ee6a https://doi.org/10.1016/j.ribaf.2016.03.005 Zobrazit plný text záznamu Full Text from ScienceDirect