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Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates

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  • Ciner, Cetin
  • Gurdgiev, Constantin
  • Lucey, Brian M.

Abstract

In this paper we investigate the return relations between major asset classes using data from both the US and the UK. Our first objective is to examine time variation in conditional correlations to determine when these variables act as a hedge against each other. Secondly, we provide evidence on whether the dependencies between the asset classes differ during extreme price movements by using quantile regressions. This analysis provides evidence on whether these asset classes can be considered as safe havens for each other. A noteworthy finding of our study is that gold can be regarded as a safe haven against exchange rates in both countries, highlighting its monetary asset role.

Suggested Citation

  • Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
    • Handle: RePEc:eee:finana:v:29:y:2013:i:c:p:202-211
    DOI: 10.1016/j.irfa.2012.12.001
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    More about this item

    Keywords

    Safe havens; Quantile regressions gold; Oil;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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