Gold, oil, and stocks: Dynamic correlations

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/16:10306869

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Gold, oil, and stocks: Dynamic correlations

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Gold, oil, and stocks: Dynamic correlations

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

International Review of Economics & Finance

ISSN

1059-0560

e-ISSN

—

Svazek periodika

42

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

16

Strana od-do

186-201

Kód UT WoS článku

000372377100013

EID výsledku v databázi Scopus

2-s2.0-84947325018