Determining hedges and safe havens for stocks using interval analysis

Meng-Shiuh Chang, Peijie Ju, Yilei Liu and Shao-Chieh Hsueh

The North American Journal of Economics and Finance, 2022, vol. 61, issue C

Abstract: We examine whether hedging and safe haven assets exist against stocks when market high and low prices evaluate asset prices. Using interval-based estimations, this paper finds that 10-year government bonds, the U.S. dollar, and gold served as weak hedging and/or safe haven assets for the stock market losses over the 2002–2019 period. We also provide evidence of the USD’s and gold’s hedging ability against the stock market volatility and of volatility transmission between assets, and highlight the importance of considering volatility.

Keywords: Government bond; Gold; US dollar; Interval time series; Safe haven (search for similar items in EconPapers)
JEL-codes: C13 G11 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940822000274
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274

DOI: 10.1016/j.najef.2022.101671

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().