How safe are the safe haven assets?

被引：43

作者：

Kopyl K.A. ^{[1
]}

Lee J.B.-T. ^{[2
]}

机构：

[1] Reserve Bank of Australia, Sydney

[2] University of Auckland, Auckland

来源：

Financial Markets and Portfolio Management | 2016年 / 30卷 / 4期

关键词：

Global financial crisis; Return correlation; Safe haven assets;

D O I：

10.1007/s11408-016-0277-5

中图分类号：

学科分类号：

摘要：

The aim of this paper is to examine which of the assets commonly believed to be safe havens do, in fact, protect investors during periods of severe financial instability. Using a broad dataset of 32 assets over the period of 1964–2014, we examine the relationship of these assets with the US equity market during financial crises to determine which of them are safe havens for US investors, hedges, or speculations. We find that the US Treasuries and Japanese yen are the strongest safe haven investments in months characterized by large declines in market value or excessive volatility. We also document that the recent global financial crisis had significantly negative ramifications on the safe haven properties of many of these assets. Our out-of-sample analyses show that while, in general, predictive market exposures are negatively correlated with asset returns in strong market downturns, those of even the strongest safe haven assets are often statistically insignificant. © 2016, Swiss Society for Financial Market Research.

引用

页码：453 / 482

页数：29

共 27 条

[1]

Andersen T.G., Bollerslev T., Diebold F.X., Vega C., Real-time price discovery in global stock, bond and foreign exchange markets, J. Int. Econ., 73, pp. 251-277, (2007)

[2]

Baele L., Bekaert G., Ingelbrecht K., The determinants of stock and bond return comovements, NBER Working Paper, (2009)

[3]

Bai Y., Green C.J., International diversification strategies: revisited from the risk perspective, J. Bank. Finance, 34, pp. 236-245, (2010)

[4]

Baur D., Lucey B., Flights and contagion—an empirical analysis of stock-bond correlations, J. Financ. Stab., 5, 4, pp. 339-352, (2009)

[5]

Baur D., Lucey B., Is gold a hedge or safe haven? An analysis of stocks bonds and gold, Financ. Rev., 45, pp. 217-229, (2010)

[6]

Baur D., McDermott T.K., Is gold a safe haven? International evidence, J. Bank. Finance, 34, pp. 1886-1898, (2010)

[7]

Boyer B.H., Kumagai T., Yuan K., How do crises spread? Evidence from accessible and inaccessible stock indices, J. Finance, 61, pp. 957-1003, (2006)

[8]

Calvo G.A., Mendoza E.G., Rational contagion and the globalization of securities markets, J. Int. Econ., 51, pp. 79-113, (2000)

[9]

Campbell R.A.J., Art as a financial investment, Handbook of Finance, (2008)

[10]

Chandar N., Patro D.K., Yezegel A., Crises, contagion and cross-listings, J. Bank. Finance, 33, pp. 1709-1729, (2009)

← 1 2 3 →