Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam

Ngo Thai Hung

Macroeconomics and Finance in Emerging Market Economies, 2023, vol. 16, issue 2, 326-356

Abstract: This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that the spillover effects between time series are time-varying across various wavelet scales in terms of direction and strength. The connectedness for various market pairs is weak in the short run but eventually strengthened towards the long run. We also analyse the multiscale behaviour of hedge ratio for optimal portfolio allocation decisions, which decompose volatility spillovers, allowing investors to adapt their hedging strategies.

Date: 2023
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DOI: 10.1080/17520843.2021.1947614

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