Linkages between Gold and Emerging Asian Stock Markets: New Evidence from the Chinese Stock Market Crash

被引:4
作者
Yousaf, Imran [1 ]
Ali, Shoaib [1 ]
机构
[1] Air Univ, Sch Management, Islamabad, Pakistan
来源
ESTUDIOS DE ECONOMIA APLICADA | 2021年 / 39卷 / 02期
关键词
Gold markets; Stock markets; optimal weights; hedge ratios; Chinese stock market crash; VAR-AGARCH; SAFE HAVEN; VOLATILITY SPILLOVERS; NONLINEAR CAUSALITY; ASYMPTOTIC THEORY; DYNAMIC LINKAGES; OIL PRICES; CRUDE-OIL; BONDS; HEDGE; COMMODITY;
D O I
10.25115/eea.v39i1.3016
中图分类号
F [经济];
学科分类号
02 ;
摘要
This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.
引用
收藏
页数:16
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