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Asymmetric correlations in gold and other financial markets

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  • T. Miyazaki
  • S. Hamori

Abstract

In this article, we implement a recently developed statistical method to test asymmetries in cross-asset correlations, focusing in particular on the gold market. Our empirical results provide evidence that gold exhibits asymmetric correlations with stocks and the U.S. dollar, but not with bonds. Furthermore, splitting the sample into three characteristic periods, we find that exceedance correlations exhibit substantial time variation even in similar market tensions for same pairs of assets. Our findings imply that investors and fund managers should take into account the asymmetric dependence structure, which depends on the upside or downside of the market.

Suggested Citation

  • T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:46:p:4419-4425
    DOI: 10.1080/00036846.2016.1158919
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    5. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    6. Meraz, M. & Alvarez-Ramirez, J. & Echeverria, J.C., 2017. "Asymmetric correlations in the ozone concentration dynamics of the Mexico City Metropolitan Area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 377-386.

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