Journal
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
Volume 56, Issue -, Pages 255-280Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.intfin.2018.01.002
Keywords
Crisis; Hedging; Commodity markets; Stock markets
Categories
Funding
- research foundation of the OP group
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Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises. (C) 2018 Elsevier B.V. All rights reserved.
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