Economics at your fingertips  


Takashi Miyazaki () and Shigeyuki Hamori ()
Additional contact information
Takashi Miyazaki: Japan Center for Economic Research, Nikkei Inc. Bldg. 11F, 1-3-7 Otemachi, Chiyoda-ku, Tokyo 100-8066, Japan

Annals of Financial Economics (AFE), 2018, vol. 13, issue 01, 1-25

Abstract: In this study, we identify the determinants of a simultaneous crash in gold and stock markets by employing an ordered logit model. We find that a default spread, among the various financial risk indicators, is a valid determinant and that changes in investors’ beliefs, their uncertainties, and surprise changes in these uncertainties about gold and stock markets contain useful information for explaining the occurrence of a simultaneous crash in the two markets. Further, we recognize that the effect of some covariates on crash probability is state-dependent. In addition to these empirical results, a notable finding is that the occurrence of a crash in one market on a previous day does not raise the probability of the occurrence of a crash in another market the next day, implying that a joint crash occurs abruptly and not in a chain reaction. This finding reveals that diversification to gold is still beneficial to investors.

Keywords: Gold market; stock market; simultaneous crash; ordered logit model; probability response curve (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

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

Related works:
Working Paper: The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach (2016)
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: 10.1142/S2010495218500045

Access Statistics for this article

Annals of Financial Economics (AFE) is currently edited by Michael McAleer

More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

Page updated 2019-10-12
Handle: RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500045