Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis

Eduard Baumohl and Štefan Lyócsa

Finance Research Letters, 2017, vol. 23, issue C, 152-164

Abstract: We address the safe haven properties of gold relative to US stock market sector indices using the bivariate cross-quantilogram of Han et al. (2016). Splitting our sample into pre- and post-crisis periods, our results show that the safe haven properties of gold have a changing nature. Before and after the financial crisis, we find only limited quantile dependence and that gold can be considered a safe haven for most of the sectors, except Industrials. On a full sample (1999–2016), there are only three sectors – Healthcare, IT, and Telecommunication services – for which gold can be considered a safe haven.

Keywords: Stock market sectors; Gold; Safe haven; Quantile dependence; Cross-quantilogram (search for similar items in EconPapers)
JEL-codes: G01 G10 G11 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:23:y:2017:i:c:p:152-164

DOI: 10.1016/j.frl.2017.02.013

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