The hedging effectiveness of gold against US stocks in a post-financial crisis era

The hedging effectiveness of gold against US stocks in a post-financial crisis era

Purpose—The purpose of this paper is to examine the transmission mechanisms and dynamic spillover effects between gold spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging effectiveness between stocks and gold in major US financial market. D...

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Bibliographic Details
Main Authors: Najib Shrydeh, Mohammed Shahateet, Suleiman Mohammad, Mohammed Sumadi
Format: Article
Language:English
Published: Taylor & Francis Group 2019-01-01
Series:Cogent Economics & Finance
Subjects:
us equity market
gold market
volatility spillover and transmission
hedging
var
adcc
bvgarch
Online Access:http://dx.doi.org/10.1080/23322039.2019.1698268

Internet

http://dx.doi.org/10.1080/23322039.2019.1698268

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