Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach

Meng-Shiuh Chang, Meng-Wei Chen and Peijie Ju

SAGE Open, 2023, vol. 13, issue 4, 21582440231208536

Abstract: We examine the hedging/safe-haven ability of gold, the US dollar, bonds, crude oil, and Bitcoin against stocks using the unconditional quantile regression (UQR). We reveal that hedging (safe-haven) effect generally decreases (increases) with the quantiles of asset returns and find an asymmetric flight from stocks to the US dollar as well as asymmetric stock-gold, stock-bond, and stock-oil contagion. Finally, we find a connection between the asymmetric safe haven and asymmetric cross-asset flights/contagion. Therefore, investors seeking hedging and safe-haven assets and investigating flights or contagion should consider the feature of extremes of assets returns. JEL: C13; G11; G14

Keywords: safe havens; asymmetric hedges and safe-haven; asymmetric cross-asset contagion and flight-to-quality; unconditional quantile regression (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:13:y:2023:i:4:p:21582440231208536

DOI: 10.1177/21582440231208536

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