dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Demirer, Riza
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|
dc.contributor.author |
Gupta, Rangan
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|
dc.contributor.author |
Wohar, Mark E.
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dc.date.accessioned |
2021-11-09T07:37:14Z |
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dc.date.issued |
2020-09 |
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dc.description.abstract |
This paper examines the fundamental linkages between stock markets and safe haven assets by developing a two-factor, regime-based volatility spillover model with global and regional stock market shocks as risk factors. The risk exposures of safe havens with respect to global and regional stock market shocks are found to display significant time variation and regime-specific features, with the exception of VIX for which consistent negative risk exposures are observed with respect to both global and regional stock market shocks. While traditional safe havens like precious metals exhibit positive risk exposures to both regional and global stock market shocks during high volatility periods, Swiss Franc, Japanese Yen and U.S. Treasuries are found to display either insignificant or negative risk exposures during market stress periods to equity market shocks, implying these assets would serve as more effective hedges (or safe havens) for equity investors. Our findings highlight the importance of dynamic models in assessing the linkages between safe haven assets and stock returns as static models would introduce large biases in diversification measures and optimal hedge ratios. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2022-06-02 |
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dc.description.librarian |
hj2021 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/strueco |
en_ZA |
dc.identifier.citation |
Balcilar, M., Demirer, R., Gupta, R. et al. 2020, 'The effect of global and regional stock market shocks on safe haven assets', Structural Change and Economic Dynamics, vol. 54, pp. 297-308. |
en_ZA |
dc.identifier.issn |
0954-349X |
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dc.identifier.other |
10.1016/j.strueco.2020.04.004 |
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dc.identifier.uri |
http://hdl.handle.net/2263/82591 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2020 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Structural Change and Economic Dynamics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Structural Change and Economic Dynamics, vol. 54, pp. 297-308, 2020. doi : 10.1016/j.strueco.2020.04.004. |
en_ZA |
dc.subject |
Safe haven assets |
en_ZA |
dc.subject |
Multivariate regime-switching |
en_ZA |
dc.subject |
Equity market shocks |
en_ZA |
dc.title |
The effect of global and regional stock market shocks on safe haven assets |
en_ZA |
dc.type |
Postprint Article |
en_ZA |