Economics at your fingertips  

Volatility regime, inverted asymmetry, contagion, and flights in the gold market

Meng-Shiuh Chang, Chih-Chun Kung, Meng-Wei Chen and Yuan Tian

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: This paper analyzes the correlation among volatility regimes, safe havens, asymmetric effects, contagions, and flights in the gold market for five considered countries during 2002–2018. Based on a two-state, quantile-based Markov-switching GJR-GARCH model, the safe-haven ability of gold against stocks and inverted asymmetric volatility is revealed to be associated with a high-volatility regime. Moreover, contagion (flight) generally occurs if, during a crisis period, the gold market is in the low (high) volatility regime. The results of this study highlight the importance of considering gold market volatility regimes in a study of the relative topics on financial asset allocation.

Keywords: Volatility regimes; Safe haven; Inverted asymmetry; Contagion; Flights (search for similar items in EconPapers)
JEL-codes: F37 G11 G15 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) 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/j.pacfin.2021.101522

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2024-02-12
Handle: RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299