Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7352257 | Finance Research Letters | 2017 | 16 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Eduard Baumöhl, Å tefan Lyócsa,