Economics at your fingertips  

Analysing dynamic dependence between gold and stock returns: Evidence using stochastic and full-range tail dependence copula models

Gideon Boako, Aviral Tiwari (), Muazu Ibrahim and Qiang Ji ()

Finance Research Letters, 2019, vol. 31, issue C

Abstract: In this paper, we apply a battery of stochastic copulas to determine the tail distribution and contagion risk-sharing relationship between eight stock markets and gold returns. We find evidence of a significant co-jump of gold and stock market returns. This is in sharp contrast to the safe-haven and diversification attributes of gold. We assume that different stock markets may have sectoral compositions that weigh certain commodities higher, gold in particular, and that investor attitudes may be driven by herd behaviour. Our conclusion is that establishing a positive average dependence between gold and equity returns cannot be completely misguided.

Keywords: Copulas; Stock market; Gold market; Dependence (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-07-09
Handle: RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307104