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Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies

Shubhasis Dey and Aravind Sampath

Finance Research Letters, 2018, vol. 25, issue C, 41-46

Abstract: We use multivariate GARCH models to analyze dynamic linkages between gold and equity price. A $1 long position in the NIFTY Financial Services index or in the NIFTY Information Technology index can be hedged for 12 cents and 5 cents, respectively, with a corresponding short position in spot gold. Moreover, spot gold expressed in rupees is a stronger equity hedge than spot gold expressed in dollars. Gold also acts as a safe haven asset during the Global Financial Crisis period. Crisis or not a prudent investor should allocate around 30% of her investable assets in gold within a gold/stock portfolio.

Keywords: Spot gold; Stock; MGARCH; Correlation; Volatility spillovers (search for similar items in EconPapers)
JEL-codes: G11 G12 C32 C52 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:finlet:v:25:y:2018:i:c:p:41-46