Is gold a safe haven? International evidence
DG Baur, TK McDermott - Journal of Banking & Finance, 2010 - Elsevier
The aim of this paper is to examine the role of gold in the global financial system. We test the
hypothesis that gold represents a safe haven against stocks of major emerging and …
hypothesis that gold represents a safe haven against stocks of major emerging and …
Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold
Is gold a hedge, defined as a security that is uncorrelated with stocks or bonds on average,
or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a …
or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a …
Stock market uncertainty and the stock-bond return relation
We examine whether time variation in the comovements of daily stock and Treasury bond
returns can be linked to measures of stock market uncertainty, specifically the implied …
returns can be linked to measures of stock market uncertainty, specifically the implied …
Financialization in commodity markets: A passing trend or the new normal?
In this paper, we show that large inflows into commodity investments, a recent phenomenon
known as financialization, has changed the behavior and dependence structure between …
known as financialization, has changed the behavior and dependence structure between …
Stock market volatility: A systematic review
Purpose The increasing globalization and technological advancements have increased the
information spillover on stock markets from various variables. However, there is a dearth of a …
information spillover on stock markets from various variables. However, there is a dearth of a …
Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets
TC Chiang - China Finance Review International, 2021 - emerald.com
Purpose This paper investigates the impact of a change in economic policy uncertainty (Δ
EPU t) and the absolute value of a change in geopolitical risk (| Δ GPR t|) on the returns of …
EPU t) and the absolute value of a change in geopolitical risk (| Δ GPR t|) on the returns of …
The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR
TLD Huynh - Resources Policy, 2020 - Elsevier
This study employs a fresh perspective to investigate the causal relationship between
uncertainty, measured via the two proxies of Economic Policy Uncertainty (EPU) and the …
uncertainty, measured via the two proxies of Economic Policy Uncertainty (EPU) and the …
Flights and contagion—An empirical analysis of stock–bond correlations
This paper analyzes the existence of flights from stocks to bonds and vice versa. We
propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset …
propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset …
Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets
Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds
markets | Emerald Insight Books and journals Case studies Expert Briefings Open Access …
markets | Emerald Insight Books and journals Case studies Expert Briefings Open Access …
Stock and bond market liquidity: A long-run empirical analysis
RY Goyenko, AD Ukhov - Journal of Financial and Quantitative …, 2009 - cambridge.org
This paper establishes liquidity linkage between stock and Treasury bond markets. There is
a lead-lag relationship between illiquidity of the two markets and bidirectional Granger …
a lead-lag relationship between illiquidity of the two markets and bidirectional Granger …