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
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DOI: 10.1080/17520843.2021.1875628

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