Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis
Eduard Baumohl () and
Štefan Lyócsa ()
MPRA Paper from University Library of Munich, Germany
We address the safe haven properties of gold relative to US stock market sector indices using the bivariate cross-quantilogram of Han et al. (2016). Splitting our sample into pre- and post-crisis periods, our results show that the safe haven properties of gold have a changing nature. Before and after the financial crisis, we find only limited quantile dependence and that gold can be considered a safe haven for most of the sectors, except Industrials. On a full sample (1999-2016), there are only three sectors – Healthcare, IT, and Telecommunication services – for which gold can be considered a safe haven.
Keywords: stock market sectors; gold; safe haven; quantile dependence; cross-quantilogram (search for similar items in EconPapers)
JEL-codes: G01 G10 G11 G15 (search for similar items in EconPapers)
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Journal Article: Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:76915
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