期刊
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
卷 56, 期 -, 页码 255-280出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.intfin.2018.01.002
关键词
Crisis; Hedging; Commodity markets; Stock markets
资金
- research foundation of the OP group
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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