Joint Dynamics in Gold, Stock and Bond Markets

• Main Authors: Wen-Chin Shih, 施文瀞
• Other Authors: Chih-Chiang Wu
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/36655471415248245447

碩士 === 元智大學 === 商學碩士班(財務金融學程) === 102 === Gold is widely perceived as a good diversification or safe haven tool for general financial markets. To fully understand the potential, this paper proposes a range-based volatility model with skewed-t copula to investigate the joint distribution and dynamics of gold, stock and bond markets. We find the strikingly explanatory ability to volatility structures provided by the price range information and the significant evidence of asymmetric tail dependence across gold, stock and bond markets. Moreover, we implement an asset-allocation strategy, which takes into account higher-order moments and nonlinear dependence, to explore their economic importance. The results show that between 54 and 652 basis points and between 28 and 340 basis points are earned annually when acknowledging the price range information and asymmetric dependence, respectively. key words: