Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis

被引：56

作者：

Baumohl, Eduard ^{[1
]}

Lyocsa, Stefan ^{[1
]}

机构：

[1] Univ Econ Bratislava, Inst Econ & Management, Dolnozemska Cesta 1, Bratislava 85235, Slovakia

来源：

FINANCE RESEARCH LETTERS | 2017年 / 23卷

关键词：

Stock market sectors; Gold; Safe haven; Quantile dependence; Cross-quantilogram; FINANCIAL CRISIS; DEPENDENCE; HEDGES;

D O I：

10.1016/j.frl.2017.02.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We address the safe haven properties of gold relative to US stock market sector indices using the bivariate cross-quantilogram of Han et al. (2016). Splitting our sample into pre- and post-crisis periods, our results show that the safe haven properties of gold have a changing nature. Before and after the financial crisis, we find only limited quantile dependence and that gold can be considered a safe haven for most of the sectors, except Industrials. On a full sample (1999-2016), there are only three sectors - Healthcare, IT, and Telecommunication services-for which gold can be considered a safe haven. (c) 2017 Elsevier Inc. All rights reserved.

引用

页码：152 / 164

页数：13

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