Determining hedges and safe havens for stocks using interval analysis
Yilei Liu and
The North American Journal of Economics and Finance, 2022, vol. 61, issue C
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274
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