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Is China a safe haven for Asian Tigers?

Author

Listed:
  • Arif Billah Dar

    () (Institute of Management Technology)

  • Niyati Bhanja

    () (MICA)

Abstract

Abstract This paper presents a number of noteworthy innovations that can be used to test the hedge and safe haven properties of Chinese stocks against stocks from four East Asian countries commonly referred to as the Asian Tigers. First and foremost, the hedge property of Chinese stocks was tested at different frequencies. Secondly, based on assertions of the Fractal Market Hypothesis, for the first time (to the best of our knowledge), turbulent periods in stock markets were identified by estimating the wavelet power spectra of stock returns. Thirdly, the safe haven property of stocks was analysed by estimating their coherence and phase angle during the identified turbulent periods. It is inferred that Chinese stocks can be used as both a weak hedge as well as weak safe haven against stocks of the Asian Tigers.

Suggested Citation

  • Arif Billah Dar & Niyati Bhanja, 2018. "Is China a safe haven for Asian Tigers?," Economic Change and Restructuring, Springer, vol. 51(2), pages 113-133, May.
  • Handle: RePEc:kap:ecopln:v:51:y:2018:i:2:d:10.1007_s10644-016-9195-9
    DOI: 10.1007/s10644-016-9195-9
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    References listed on IDEAS

    as
    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    2. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    3. Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 435-444, June.
    4. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
    5. Hood, Matthew & Malik, Farooq, 2013. "Is gold the best hedge and a safe haven under changing stock market volatility?," Review of Financial Economics, Elsevier, vol. 22(2), pages 47-52.
    6. Md Nain & Bandi Kamaiah, 2014. "Financial development and economic growth in India: some evidence from non-linear causality analysis," Economic Change and Restructuring, Springer, vol. 47(4), pages 299-319, November.
    7. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
    8. Niyati Bhanja & Arif Dar, 2015. "“The beauty of gold is, it loves bad news”: evidence from three major gold consumers," Economic Change and Restructuring, Springer, vol. 48(3), pages 187-208, November.
    9. Reboredo, Juan C., 2013. "Is gold a hedge or safe haven against oil price movements?," Resources Policy, Elsevier, vol. 38(2), pages 130-137.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Asian Tigers; Safe haven; Hedge;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Z29 - Other Special Topics - - Sports Economics - - - Other

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