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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
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299

DOI: 10.1016/j.pacfin.2021.101522

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