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Determining hedges and safe havens for stocks using interval analysis

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  • Chang, Meng-Shiuh
  • Ju, Peijie
  • Liu, Yilei
  • Hsueh, Shao-Chieh

Abstract

We examine whether hedging and safe haven assets exist against stocks when market high and low prices evaluate asset prices. Using interval-based estimations, this paper finds that 10-year government bonds, the U.S. dollar, and gold served as weak hedging and/or safe haven assets for the stock market losses over the 2002–2019 period. We also provide evidence of the USD’s and gold’s hedging ability against the stock market volatility and of volatility transmission between assets, and highlight the importance of considering volatility.

Suggested Citation

  • Chang, Meng-Shiuh & Ju, Peijie & Liu, Yilei & Hsueh, Shao-Chieh, 2022. "Determining hedges and safe havens for stocks using interval analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274
    DOI: 10.1016/j.najef.2022.101671
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    More about this item

    Keywords

    Government bond; Gold; US dollar; Interval time series; Safe haven;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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