Black swan events and safe havens: The role of gold in globally integrated emerging markets
p. 317–334
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Elsevier Ltd.
2017
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oai:112.137.131.14:VNU_123-603542017-12-11T08:15:59Z Black swan events and safe havens: The role of gold in globally integrated emerging markets Bekiros, Stelios Boubaker, Sabri Nguyen, Duc Khuong Uddin, Gazi Salah Equity markets Copulas Gold Time-scale analysis p. 317–334 There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets. 2017-11-22T03:16:13Z 2017-11-22T03:16:13Z 2017 Article 0261-5606 http://repository.vnu.edu.vn/handle/VNU_123/60354 en ;Journal of International Money and Finance 73 (2017) application/pdf Elsevier Ltd. |
| institution |
Vietnam National University, Hanoi |
| building |
VNU Library & Information Center |
| country |
Vietnam |
| collection |
VNU Digital Repository |
| language |
English |
| topic |
Equity markets Copulas Gold Time-scale analysis |
| spellingShingle |
Equity markets Copulas Gold Time-scale analysis Bekiros, Stelios Boubaker, Sabri Nguyen, Duc Khuong Uddin, Gazi Salah Black swan events and safe havens: The role of gold in globally integrated emerging markets |
| description |
p. 317–334 |
| format |
Article |
| author |
Bekiros, Stelios Boubaker, Sabri Nguyen, Duc Khuong Uddin, Gazi Salah |
| author_facet |
Bekiros, Stelios Boubaker, Sabri Nguyen, Duc Khuong Uddin, Gazi Salah |
| author_sort |
Bekiros, Stelios |
| title |
Black swan events and safe havens: The role of gold in globally integrated emerging markets |
| title_short |
Black swan events and safe havens: The role of gold in globally integrated emerging markets |
| title_full |
Black swan events and safe havens: The role of gold in globally integrated emerging markets |
| title_fullStr |
Black swan events and safe havens: The role of gold in globally integrated emerging markets |
| title_full_unstemmed |
Black swan events and safe havens: The role of gold in globally integrated emerging markets |
| title_sort |
black swan events and safe havens: the role of gold in globally integrated emerging markets |
| publisher |
Elsevier Ltd. |
| publishDate |
2017 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/60354 |
| _version_ |
1680966435574120448 |