Spillover Effects Among Gold, Stocks, and Bonds

Sumner, Steven; Johnson, Robert R.; Soenen, Luc

doi:10.7835/jcc-berj-2010-0041

Cited by 53 publications

(24 citation statements)

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“…More recently, Wang and Chueh (2013) interested in δ 1 and find positive interaction between oil and gold. Sumner et al(2010) and Gaur and Bansal (2010) focus on δ 3 arguing that falling stock market results in rising gold prices. Which is equal to α 3 + α 1 β 2 + α 1 β 4 = α 3 + α 1 (β 2 + β 4 ).…”

Section: Empirical Methodology and Econometric Issuesmentioning

confidence: 99%

“…Investors' decisions and portfolio rebalancing could also act as channels to spillover shocks from other markets and across different commodities (Kyle and Xiong, 2001). Sumner et al (2010), Gaur and Bansal (2010) confirmed that, in periods of crisis, falling stock market results always in rising gold prices. Yahyazadehfar and Babaie (2012), and Le and Chang (2012) found significant relationship between stock market prices and gold prices and state that stock market is a reason for increasing gold rate.…”

Section: Oil Price Versus Stock Pricesmentioning

confidence: 96%

“…This article differs from similar previous studies in several aspects. First, most of research papers focus on bilateral linkages such as oil versus stock markets (Jones and Kaul, 1996;Sadorsky, 1999;Aloui and jammazi, 2009;Arouri et al, 2012;Mollick and Assefa, 2013;…), oil price versus gold price (Zhang and Wei, 2010;Ewing and Malik, 2013;Bampinas and Panagiotidis, 2015), gold prices versus stock markets (Sumner et al, 2010;Gaur and Bansal, 2010;and Le and Chang, 2012), oil price versus exchange rates (Basher et al, 2012) and other on trilateral linkages such as oil price, exchange rates and stock prices (Sekmen, 2011 ;Olugbenga, 2012;Fratzscher et al, 2014), and gold, foreign exchange and stock market (Shahram et al, 2015). We implement our investigation on the four markets simultaneously.…”

Section: Introductionmentioning

confidence: 99%

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Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Arfaoui

Rejeb

2017

EJMBE

113

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This paper takes a global perspective in examining relationships among oil, gold, US dollar and stock prices, using simultaneous equations system to identify direct and indirect linkages for the period spanning from January 1995 to October 2015. Results show significant interactions between the all parties. Indeed, we found negative relation between oil and stock prices but oil price is significantly and positively affected by stock markets, gold and USD. Oil price is also affected by oil future prices and by Chinese oil gross imports. Gold price is concerned by changes in oil, USD and stock market prices but slightly depend on US oil imports and corporate default premium. The US dollar is negatively affected by stock market and significantly by oil and gold prices and also by US consumer price index. Indirect effects always exist which confirm the presence of global interdependencies and involve the financialization process of commodity markets.

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Section: Empirical Methodology and Econometric Issuesmentioning

confidence: 99%

Section: Oil Price Versus Stock Pricesmentioning

confidence: 96%

Section: Introductionmentioning

confidence: 99%

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Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Arfaoui

Rejeb

2017

EJMBE

113

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“…Baur and Lucey (2010) studied the constant and time varying relationships between stocks, bonds and gold and found that gold is a hedge against stocks and is a safe haven in extreme stock market conditions. According to Sumner et al (2010) diversification is important across different global markets as well as within various classes of assets and 'for at least some investors, an investment in gold has been seen as a good hedge or safe haven against stock market movements' (p. 107). Joy (2011) found that gold has been a poor safe haven.…”

Section: Introductionmentioning

confidence: 99%

Gold Price and Capital Market Movement in India: The Toda–Yamamoto Approach

Mishra

2014

Global Business Review

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In recent days gold has attracted the attention of common men, investors, policy makers and researchers. A hovering impression is that gold price increases whenever stock market slumps. In India such a scenario has been observed since last few years. It is with this backdrop, this article is an attempt to unveil any dynamics, if exist, between gold price and stock price movements using a sophisticated econometric tool, Toda and Yamamoto non-causality test. On the basis of the annual observations for the period 1978-1979 to 2010-2011, it has been found that both the prices have contained in themselves some information to predict each other.

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“…Likewise, Hood and Malik (2013) ascertain the gold possessing hedge and weak safe haven properties in the case of the US stock market for the period between 1995 and 2010. Sumner et al (2010) analyze the volatility spillovers among gold prices, stock and bond markets in the US for the sample period between 1970 and 2009. They adduce a low and slightly negative correlation between gold and both stock and bond market returns.…”

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confidence: 99%

The Safe Haven Property of Gold in Turkish Financial Markets: An Investigation of the Global Financial Crisis

Gencer¹,

Musoglu²

2014

boun

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This paper investigates whether gold acts as a safe haven, a hedge or a diversifier for stocks and bonds in Turkey. We employ the dynamic conditional correlation (DCC-GARCH) model which is a class of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models. DCC-GARCH has two steps; the first step models the volatility dynamics in a univariate context and the second step involves computing dynamic correlations. We use daily data from June 2006 to November 2013, a period witnessing the most recent global financial crisis and its aftermath. Our univariate GARCH model results reveal that current volatility is conditional on past shocks and volatilities for gold, stocks and bonds in Turkey. In this study, we hypothesize that gold is a hedge if the gold and the asset class are uncorrelated or negatively correlated on average, while it is a safe haven if the correlations are negative in times of market stress. The second step analyses show that gold acts as a hedge on average and a safe haven during equity market downturns for stocks. Across bonds, we show that gold acts as a hedge on the average, however it is not a safe haven during turmoil periods. Our results are of significance for portfolio managers, international investors and policy makers.

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Spillover Effects Among Gold, Stocks, and Bonds

Cited by 53 publications

References 0 publications

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

Gold Price and Capital Market Movement in India: The Toda–Yamamoto Approach

The Safe Haven Property of Gold in Turkish Financial Markets: An Investigation of the Global Financial Crisis

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