Return and volatility transmission between gold and stock sectors
KUMAR, DILIP
Return and volatility transmission between gold and stock sectors Application of portfolio management and hedging effectiveness - 2014 - 5-16
The paper investigates the first and second orders moment transmission between gold and Industrial sectors with an application of portfolio design and hedging effectiness using generalised VAR-ADCC-BVGRACH model. Our finding indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these period.
STOCK MARKET
332.6322
Return and volatility transmission between gold and stock sectors Application of portfolio management and hedging effectiveness - 2014 - 5-16
The paper investigates the first and second orders moment transmission between gold and Industrial sectors with an application of portfolio design and hedging effectiness using generalised VAR-ADCC-BVGRACH model. Our finding indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these period.
STOCK MARKET
332.6322