Black swan events and safe havens : the role of gold in globally integrated emerging markets
Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
BEKIROS, Stelios D., BOUBAKER, Sabri, KHUONG NGUYEN, Duc, UDDIN, Gazi Salah, Black swan events and safe havens : the role of gold in globally integrated emerging markets, Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334 - http://hdl.handle.net/1814/49788
Retrieved from Cadmus, EUI Research Repository
There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets.
Available online: 20 February 2017
Cadmus permanent link: http://hdl.handle.net/1814/49788
Full-text via DOI: 10.1016/j.jimonfin.2017.02.010
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