Gold, Oil, and Stocks

Jozef Baruník, Evžen Kočenda and Lukas Vacha

Papers from arXiv.org

Abstract: We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a dominant feature during times of economic downturn and financial turbulence for all three pairs of the assets under research. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase and become homogenous: the timing differs for the three pairs but coincides with the structural breaks that are identified in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment-horizons perspective, all three assets could be used in a well-diversified portfolio only during relatively short periods.

Date: 2013-08, Revised 2014-03
New Economics Papers: this item is included in nep-cwa, nep-ene and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://arxiv.org/pdf/1308.0210 Latest version (application/pdf)

Related works:
Journal Article: Gold, oil, and stocks: Dynamic correlations (2016)
Working Paper: Gold, Oil, and Stocks: Dynamic Correlations (2015)
Working Paper: Gold, Oil, and Stocks (2014)
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: https://EconPapers.repec.org/RePEc:arx:papers:1308.0210

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().