Which is the safe haven for emerging stock markets, gold or the US dollar?

被引：73

作者：

Wen, Xiaoqian ^{[1
,2
]}

Cheng, Hua ^{[3
]}

机构：

[1] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Sichuan, Peoples R China

[2] Southwestern Univ Finance & Econ, Collaborate Innovat Ctr Financial Secur, Chengdu, Sichuan, Peoples R China

[3] Nankai Univ, Sch Finance, Tianjin, Peoples R China

来源：

EMERGING MARKETS REVIEW | 2018年 / 35卷

基金：

中国国家自然科学基金;

关键词：

Emerging stock markets; Gold; US dollar; Safe haven; GAS copulas; COPULA APPROACH; EXCHANGE-RATES; DEPENDENCE STRUCTURE; COMMODITY PRICES; RISK-MANAGEMENT; OIL; MODELS; HEDGES; BONDS;

D O I：

10.1016/j.ememar.2017.12.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines whether gold or the US dollar is a safe haven for emerging stocks. By calculating the low-high tail dependence between markets via copulas and the downside risk gains of portfolios, we find that both gold and the US dollar can serve as a safe haven for emerging stocks; that the US dollar is better than gold in most cases, while its superiority in hedging infinitely extreme risks is weakened in the subsample of global financial crisis and the out-of-sample; and that the downside risk gains offered by the US dollar for China and Thailand are very attractive. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：69 / 90

页数：22

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