Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’
AbstractThis article investigates the causal relationships between gold and stock market performance or uncertainty by employing nonuniform weighting cross-correlations. In our sample period covering the last decade, we detect a unidirectional causality in mean from stock to gold, but find no causality in variance between the two. For subsample periods divided into pre- and post-current financial crisis, although we detect bidirectional causality in mean for the first sample period, there exists only a unilateral causality in mean and variance from stock to gold for the second sample period. These findings imply that flight-to-quality has occurred during the recent financial turmoil.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 23 (2013)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.