Abstract:This study incorporates the regime switching framework to investigate the hedge and safe haven property of gold futures against the stock and bond market movements. The Markov-Switching Vector Autoregression (MS-VAR) model is adopted, which splits the whole sample period into two extreme regimes. One of the regimes accounts for the period of high volatility in stock and bond returns and enables to verify the safe haven role of gold futures. Conversely, another regime represents the period of average stock retu… Show more
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