Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies

被引：8
|
作者：
Dey, Shubhasis [1 ]
Sampath, Aravind [1 ]
机构：
[1] Indian Inst Management Kozhikode, IIMK Campus PO, Kozhikode 673570, Kerala, India
来源：
FINANCE RESEARCH LETTERS | 2018年 / 25卷
关键词：
Spot gold; Stock; mGARCH; Correlation; Volatility spillovers; VOLATILITY SPILLOVERS; GENERALIZED ARCH; GARCH MODELS; STOCK; RETURNS; HEDGE;
D O I：
10.1016/j.frl.2017.10.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We use multivariate GARCH models to analyze dynamic linkages between gold and equity price. A $1 long position in the NIFTY Financial Services index or in the NIFTY Information Technology index can be hedged for 12 cents and 5 cents, respectively, with a corresponding short position in spot gold. Moreover, spot gold expressed in rupees is a stronger equity hedge than spot gold expressed in dollars. Gold also acts as a safe haven asset during the Global Financial Crisis period. Crisis or not a prudent investor should allocate around 30% of her investable assets in gold within a gold/stock portfolio.
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页码：41 / 46
页数：6
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