Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10153719 | Journal of International Financial Markets, Institutions and Money | 2018 | 55 Pages |
Abstract
Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Juha Junttila, Juho Pesonen, Juhani Raatikainen,