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Gold price and stock markets nexus under mixed-copulas

Author

Listed:
  • Nguyen, Cuong
  • Bhatti, M. Ishaq
  • Komorníková, Magda
  • Komorník, Jozef

Abstract

This paper investigates the role of gold as a safe haven in international stock markets using various copula techniques to capture complex dependencies between stock markets and gold prices. It creates a new class of mix copulas from Clayton, Frank, Gumbel and Joe copulas. The paper employs parametric and nonparametric copulas to over 11years of daily data (1999–2010) from seven countries' to understand the nexus between international stock markets and gold prices. The results show that gold may be a safe haven asset during market crash for the case of Malaysia, Singapore, Thailand, the UK and the US markets but not for the Indonesian, Japanese and the Philippines markets. These results are of great interest for the investors and risk managers to comprehend portfolio diversification benefits and risk reductions during tranquil and downturn periods by including gold in their investment portfolios.

Suggested Citation

  • Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
    • Handle: RePEc:eee:ecmode:v:58:y:2016:i:c:p:283-292
    DOI: 10.1016/j.econmod.2016.05.024
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    More about this item

    Keywords

    Mixed copula; Gold price; Stock market; Risk management;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G2 - Financial Economics - - Financial Institutions and Services

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