Return and volatility transmission between gold and stock sectors Application of portfolio management and hedging effectiveness

By:

KUMAR, DILIP

Material type:

Mixed materialsPublication details: 2014Description: 5-16Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: MANAGEMENT REVIEWMSummary: 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.

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Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		26/1	Available		P15411

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.

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