Black swan events and safe havens: The role of gold in globally integrated emerging markets

Stelios Bekiros, Sabri Boubaker, Duc Khuong Nguyen and Gazi Uddin

Journal of International Money and Finance, 2017, vol. 73, issue PB, 317-334

Abstract: There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets.

Keywords: Equity markets; Copulas; Gold; Time-scale analysis (search for similar items in EconPapers)
JEL-codes: C14 C32 C51 G1 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (105)

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Working Paper: Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:73:y:2017:i:pb:p:317-334

DOI: 10.1016/j.jimonfin.2017.02.010

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