 Gold price and stock markets nexus under mixed-copulasCuong Nguyen, Muhammad Bhatti, Magda Komorníková and Jozef Komorník Economic Modelling, 2016, vol. 58, issue C, 283-292 Abstract: This paper investigates the role of gold as a safe haven in international stock markets using various copula techniques to capture complex dependencies between stock markets and gold prices. It creates a new class of mix copulas from Clayton, Frank, Gumbel and Joe copulas. The paper employs parametric and nonparametric copulas to over 11years of daily data (1999–2010) from seven countries' to understand the nexus between international stock markets and gold prices. The results show that gold may be a safe haven asset during market crash for the case of Malaysia, Singapore, Thailand, the UK and the US markets but not for the Indonesian, Japanese and the Philippines markets. These results are of great interest for the investors and risk managers to comprehend portfolio diversification benefits and risk reductions during tranquil and downturn periods by including gold in their investment portfolios. Keywords: Mixed copula; Gold price; Stock market; Risk management (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:58:y:2016:i:c:p:283-292 DOI: 10.1016/j.econmod.2016.05.024 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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