Economics at your fingertips  

Spillovers and portfolio risk management of gold and stock markets: evidence from emerging Latin American markets

Imran Yousaf, Shoaib Ali and Faisal Abbas

Macroeconomics and Finance in Emerging Market Economies, 2022, vol. 15, issue 2, 160-176

Abstract: This study examines the return and volatility transmission between gold and emerging Latin American stock markets during the full sample period, the global financial crisis, and the Chinese Stock market crash. Employing the VAR-AGARCH model to estimate spillovers, the results reveal the substantial return and volatility spillovers between the gold and emerging Latin American stock markets, but these spillovers vary across different gold-stock pairs and two crises. Lastly, we also provide the optimal weights and hedge ratios for all gold-stock pairs during all sample periods. Overall, these findings provide useful insights for portfolio diversification, asset pricing, and risk management.

Date: 2022
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

DOI: 10.1080/17520843.2021.1875628

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2023-11-30
Handle: RePEc:taf:macfem:v:15:y:2022:i:2:p:160-176