Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Yamaka, Woraphon; Maneejuk, Paravee

doi:10.3390/math8010120

Cited by 21 publications

(14 citation statements)

References 40 publications

(57 reference statements)

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“…The authors show that the benefits of diversification vary in frequency of time, with Bitcoin showing superiority over gold and the commodities index. Yamaka and Maneejuk (2020) show the existence of significant causalities between gold shocks and the volatility of Asian stock markets. The authors highlight the existence of strong correlations between the stock markets of South Korea and India and the gold market during the global financial crisis when compared to the pre-and post-crisis periods.…”

Section: Literature Reviewmentioning

confidence: 95%

“…The growing uncertainty in the global economy is also transmitted to the global financial market, which makes investors tend to distribute their portfolios from high-risk to low-risk markets. From the perspective of investors and risk managers, gold is regularly seen as a hedge or a safe haven against stock markets, so understanding the relationship between gold and financial markets has significant implications (Ma, Yang, Zou, and Liu, 2020;Yamaka and Maneejuk, 2020). Balcilar, Hammoudeh, and Asaba (2015), Batten, Ciner, Kosedag, and Lucey (2017), and Laily et al (2017) examine gold as a safe asset in the adjustment of portfolios by investors.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Maghyereh and Abdoh (2020), Bedoui, Guesmi, Kalai, and Porcher (2020), Bouri, Shahzad, Roubaud, Kristoufek, and Lucey (2020), Yamaka and Maneejuk (2020), Naeem, Hasan, Arif, Balli, and Shahzad (2020), Hussain Shahzad, Bouri, Roubaud, and Kristoufek (2020) studied the Gold as a safe investment in international financial market. Maghyereh and Abdoh (2020) show that gold does not act as a diversifier, or a tool for rebalancing the portfolios for Islamic investors.…”

Section: Literature Reviewmentioning

confidence: 99%

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Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Dias

Carvalho

2020

ReA UFSM

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Purpose - This essay aims to analyze whether gold (Gold Bullion: Zurich) and silver (Silver Paris Spot E/KG) will be a safe haven for diversifying portfolios in Latin America's stock markets.Design/methodology/approach - The analyzed data are the price indexes of the stock markets of Argentina (SP Merval), Brazil (Ibovespa), Chile (SP/CLX IGPA), Peru (SP/BVL General IGBL), Mexico (IPC), USA (Dow Jones), gold (Gold Bullion: Zurich), and silver (Silver Paris Spot E/KG), from December 31, 2019 to September 2, 2020. To answer the research question we used Gregory and Hansen’s methodology (1996), and the VAR Granger causality/block exogeneity Wald tests model.Findings - The results indicate that the markets have very significant integrations and causalities, that is, gold and silver do not function as safe havens for the diversification of portfolios in Latin American stock markets.Research limitations/implications - While the present investigation used general indices, in future studies sectoral indices can be used, as well as intraday data to have more robust evidence regarding the diversification of portfolios in these regional markets.Originality/value - This investigation differs from previous studies because it focuses on the rebalancing of portfolios through the estimation of integration models and shocks between gold and silver and the Latin American markets. This differs from the previous ones, which analyzed the average dependencies between gold and financial market movements, and between gold and currency depreciation.

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Section: Literature Reviewmentioning

confidence: 95%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Dias

Carvalho

2020

ReA UFSM

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“…Then, the model confidence set (MCS) of Hansen, Lunde, and Nason [36] is used to compare these seven models' forecasting performance. We would like to note that the MCS test has the ability to find the best forecasting models with a certain probability in the set of competing models [50]. Hansen, Lunde, and Nason [36] proposed two test statistics, which are the semi-quadratic statistic and the range statistic; thus, we consider both tests in our comparison.…”

Section: The Out-of-sample Forecasting Performancementioning

confidence: 99%

Exchange Rate Volatility Forecasting by Hybrid Neural Network Markov Switching Beta-t-EGARCH

2020

Self Cite

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The motivation of this study is built from the previous research to find a way to enhance the forecast of advanced and emerging market currency volatilities. Given the exchange rate's nonlinear and time-varying characteristics, we introduce the neural networks (NN) approach to enhance the Markov Switching Beta-Exponential Generalized Autoregressive Conditional Heteroscedasticity (MS-Betat-EGARCH) model. Our hybrid model synthesizes these two approaches' advantages to predict exchange rate volatility. We validate the performance of our proposed model by comparing it with various traditional volatility forecasting models. In-sample and out-of-sample volatility forecasts are considered to achieve our comparison. The empirical results suggest that our hybrid NN-MS Beta-t-EGARCH outperforms the other models for both emerging and advanced market currencies. INDEX TERMS Exchange rate volatility, neural networks, Markov-switching Beta-t-EGARCH. I. INTRODUCTION Volatility represents the degree to which variable changes over time, and it is an essential facet in risk evaluation of many essential economic tasks such as value at risk, financial asset pricing, and exchange rate [52]. Volatility has three significant characteristics in the financial area, namely, volatility clustering property [37], asymmetric property [10], and nonlinearity property [19]. These properties lead to uncertainty in financial time series. In the context of economic globalization, international transactions, and capital flow across the borders have increased. There is an indisputable fact that the foreign exchange market is a crucial factor affecting the transactions and capital flows. Thus, policymakers must understand the exchange rate volatility before making fiscal and monetary policy decisions, especially in those import-led and export-led countries. In this respect, our study aims to forecast the exchange rate volatility of the three emerging markets' currencies, namely the Brazilian Real, Chinese Yuan, and Indian Rupee, and three advanced markets' currencies, namely, Euro, The associate editor coordinating the review of this manuscript and approving it for publication was Francesco Benedetto .

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“…From the perspective of investors, and risk managers, gold is regularly regarded as a hedge or safe haven against stock markets, so understanding the relationship between gold and financial markets has relevant implications. (Ma, Yang, Zou, and Liu, 2020;Yamaka and Maneejuk, 2020).…”

Section: Introductionmentioning

confidence: 99%

Safe Haven, Hedge and Diversification for Stock Markets: Gold Versus Silver

Farinha¹,

Dias²,

Heliodoro³

et al. 2020

Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and

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This paper aims to analyse if whether Gold (Gold Bullion: Zurich) and Silver (Silver Paris Spot E/KG) will be a safe haven for portfolio diversification in the financial markets of Germany (DAX 30), USA (DOW JONES), France (CAC 4 0), Italy (FTSE MID), United Kingdom (FTSE 100), Hong Kong (Hang Seng), China (SHANGHAI SE ASHARE), Japan (NIKKEI 225), in the period between 1 January 2019 to 2 September 2020. In order to perform this analysis where undertaken different approaches to analyse if: (i) the gold and silver market will be a safe haven when financial markets break down? (ii) If so, can market shocks question portfolio diversification? The results suggest 53 pairs of integrated markets (out of 90 possible). Gold and Silver have integrations with each other and with the USA, but the other financial markets integrate with Gold and Silver, namely the US, France, UK, Italy and Hong Kong markets (the latter only with Silver). The China market has a single integration but is integrated by the USA, France, the United Kingdom, Italy, and Germany, which partially rejects the first investigation question. In corroboration, causality tests show 67 causal relationships (out of 90 possible). The Markets of Italy (FTSE MID), the USA (DOW JONES) cause, in the Grangerian sense, all its peers (9 out of 9 possible), while France (CAC 40), the United Kingdom (FTSE 100), Japan (NIKKEI 225), and Germany (DAX 30) cause 8 out of 9. Silver and Gold cause the financial markets 7, and 6 times (out of 9 possible), respectively, while the Hong Kong (Hang Seng) and China (SHANGHAI) markets cause 3 and once, respectively, which validates the second investigation question. Given the high level of integration and shocks between markets, portfolio diversification may be brought into question. These findings also make room for market regulators to take steps to ensure better information among international financial markets.

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Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach

Cited by 21 publications

References 40 publications

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Exchange Rate Volatility Forecasting by Hybrid Neural Network Markov Switching Beta-t-EGARCH

Safe Haven, Hedge and Diversification for Stock Markets: Gold Versus Silver

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