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Hedges and Safe Havens – An examination of Stocks, Bonds, Oil, Gold and the Dollar

Cetin Ciner
Constantin Gurdgiev
Brian M Lucey
Corresponding Author: Brian M Lucey, School of Business and Institute for International Integration Studies, University of Dublin, Trinity College, Dublin 2, Ireland  & Caledonian Business School, Glasgow Caledonian University, Cowcaddens Road, Glasgow, G4 0BA, Scotland, UK Email: Blucey@tcd.ie 
Cetin Ciner, Cameron School of Business, University of North Carolina, Wilmington, NC 601 S. College Road, Wilmington NC 28403, cinerc@uncw.edu
Constantin Gurdgiev, School of Business, University of Dublin, Trinity College, Dublin 2, Ireland and IBM Global Center for Economic Development, Ballsbridge, Dublin 4, Ireland Email: gurdgievc@gmail.com  

IIIS Discussion Paper No. 337

Abstract

We investigate five major financial asset classes, examining how and under what circumstances each may act as a hedge or a safe haven to each other. Using the approach of Baur and Lucey (2010) and Baur and McDermott (2010) we find that gold acts as a safe haven for most assets, except oil. Bonds do not appear to be a longterm hedge against equity price movements but do act as a safe haven for equities.  We examine this in the case of the UK and the USA, both major gold and oil trading centers, over a twenty year period.

 

Keywords : DCC Garch, Gold
JEL Categories: C52, G12

 

 


 


Last updated 28 August 2014 by IIIS (Email).