EconPapers    
Economics at your fingertips  
 

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: G1 C14 C32 C51 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026156061730027X
Full text for ScienceDirect subscribers only

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

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-18
Handle: RePEc:eee:jimfin:v:73:y:2017:i:pb:p:317-334