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Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis

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  • Baumöhl, Eduard
  • Lyócsa, Štefan

Abstract

We address the safe haven properties of gold relative to US stock market sector indices using the bivariate cross-quantilogram of Han et al. (2016). Splitting our sample into pre- and post-crisis periods, our results show that the safe haven properties of gold have a changing nature. Before and after the financial crisis, we find only limited quantile dependence and that gold can be considered a safe haven for most of the sectors, except Industrials. On a full sample (1999–2016), there are only three sectors – Healthcare, IT, and Telecommunication services – for which gold can be considered a safe haven.

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  • Baumöhl, Eduard & Lyócsa, Štefan, 2017. "Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis," Finance Research Letters, Elsevier, vol. 23(C), pages 152-164.
    • Handle: RePEc:eee:finlet:v:23:y:2017:i:c:p:152-164
    DOI: 10.1016/j.frl.2017.02.013
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    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
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    3. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
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    More about this item

    Keywords

    Stock market sectors; Gold; Safe haven; Quantile dependence; Cross-quantilogram;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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