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Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness
15 references·15 citing·43 second hop
Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness (2014)Return and volatility transmission betwee…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios (2007)On the application of the dyn…Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks (2007)Gold investment as an inflati…Do Precious Metals Shine? An Investment Perspective (2006)Do Precious Metals Shine? An …Gold as a hedge against the dollar (2005)Gold as a hedge against the d…GOLD AS AN INFLATION HEDGE? (2004)GOLD AS AN INFLATION HEDGE?ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance (1997)Gold and commodity prices as …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Diversifying with Gold Stocks (1990)Diversifying with Gold StocksGold and Gold Stocks as Investments for Institutional Portfolios (1989)Gold and Gold Stocks as Inves…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market (2023)Can diversification be improv…The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices (2022)The effects of economic uncer…Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market (2021)Optimal hedge ratios and hedg…Gold and US sectoral stocks during COVID-19 pandemic (2021)Gold and US sectoral stocks d…Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies (2021)Dynamic asymmetric optimal po…The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period (2020)The correlation of gold, exch…Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices (2020)Gold and portfolio diversific…Equity market integration of China and Southeast Asian countries: further evidence from MGARCH-ADCC and wavelet coherence analysis (2019)Equity market integration of …Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables (2018)Improving the predictability …Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices (2017)Uncovering frequency domain c…Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification (2017)Tail dependence between gold …Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria (2017)Portfolio diversification bet…Financial contagion and volatility spillover: An exploration into Indian commodity derivative market (2017)Financial contagion and volat…Gold price and stock markets nexus under mixed-copulas (2016)Gold price and stock markets …Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Generalized autoregressive conditional heteroskedasticity (1986)The macroeconomic determinants of volatility in precious metals markets (2010)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Does gold act as a hedge or a safe haven for stocks? A smooth transition approach (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)A Retrospective on the Classical Gold Standard, 1821-1931 (1984)Exchange rate exposure, hedging, and the use of foreign currency derivatives (2001)From Principles of Political Economy (2005)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 2005Gold as a hedge against the dollar572 cited
  • 2006Do Precious Metals Shine? An Investment Perspective479 cited
  • 1989Gold and Gold Stocks as Investments for Institutional Portfolios335 cited
  • 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios294 cited
  • 2004GOLD AS AN INFLATION HEDGE?283 cited
  • 2007Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks235 cited
  • 1990Diversifying with Gold Stocks185 cited
  • 1997Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance

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167 cited

Cited by

  • 2016Gold price and stock markets nexus under mixed-copulas114 cited
  • 2018Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables114 cited
  • 2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market111 cited
  • 2022The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices75 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2021Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies70 cited
  • 2017Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices63 cited
  • 2021Gold and US sectoral stocks during COVID-19 pandemic58 cited
  • 2020Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices54 cited
  • 2020The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period54 cited
  • 2019Equity market integration of China and Southeast Asian countries: further evidence from MGARCH-ADCC and wavelet coherence analysis38 cited
  • 2017Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria33 cited
  • 2021Optimal hedge ratios and hedging effectiveness: An analysis of the Turkish futures market32 cited
  • 2017Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification29 cited
  • 2023Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market27 cited