Gold, oil, and stocks: Dynamic correlations

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00449082" target="_blank" >RIV/67985556:_____/16:00449082 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11230/16:10306869

Result on the web

<a href="http://dx.doi.org/10.1016/j.iref.2015.08.006" target="_blank" >http://dx.doi.org/10.1016/j.iref.2015.08.006</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.iref.2015.08.006" target="_blank" >10.1016/j.iref.2015.08.006</a>

Result language

angličtina

Original language name

Gold, oil, and stocks: Dynamic correlations

Original language description

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a dominant feature during times of economic downturn and financial turbulence for all three pairs of the assets under research. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase and become homogenous: the timing dif- fers for the three pairs but coincides with the structural breaks that are identified in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment-horizons perspective, all three assets could be used in a well- diversified portfolio only during relatively short periods.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

International Review of Economics & Finance

ISSN

1059-0560

e-ISSN

—

Volume of the periodical

42

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

16

Pages from-to

186-201

UT code for WoS article

000372377100013

EID of the result in the Scopus database

2-s2.0-84947325018