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dc.contributor.authorBEKIROS, Stelios D.
dc.contributor.authorBOUBAKER, Sabri
dc.contributor.authorKHUONG NGUYEN, Duc
dc.contributor.authorUDDIN, Gazi Salah
dc.date.accessioned2018-01-08T15:07:44Z
dc.date.available2018-01-08T15:07:44Z
dc.date.issued2017
dc.identifier.citationJournal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334en
dc.identifier.issn0261-5606
dc.identifier.urihttp://hdl.handle.net/1814/49788
dc.descriptionAvailable online: 20 February 2017en
dc.description.abstractThere 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.en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofJournal of international money and financeen
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subjectEquity marketsen
dc.subjectCopulasen
dc.subjectGolden
dc.subjectTime-scale analysisen
dc.subjectG1en
dc.subjectC14en
dc.subjectC32en
dc.subjectC51en
dc.titleBlack swan events and safe havens : the role of gold in globally integrated emerging marketsen
dc.typeArticleen
dc.identifier.doi10.1016/j.jimonfin.2017.02.010
dc.identifier.volume73en
dc.identifier.startpage317en
dc.identifier.endpage334en
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