Time-varying linkages among gold, stocks, bonds and real estate

Yunus, Nafeesa

doi:10.1016/j.qref.2020.01.015

Cited by 20 publications

(23 citation statements)

References 91 publications

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“…Çalışmada elde edilen bulgular Kovid19'dan emtia ve doğal kaynaklar, tarım, metal ve madencilik endekslerine doğru zamanla değişen nedenselliğin varlığını desteklemektedir. Yunus (2020) farklı piyasa şartlarında altının riskten korunma ve güvenli liman özelliklerini değerlendirmek amacıyla hisse senedi, tahvil ve gayrimenkul fiyatlarıyla altın fiyatları arasındaki zamanla değişen eşbütünleşme ilişkilerine odaklanmaktadır. Gösterge niteliğindeki endekslerle temsil edilen hisse senedi, altın ve gayrimenkul fiyatları aylık frekansta, ay sonu kapanış değerleri olarak kullanılmıştır.…”

Section: Li̇teratürunclassified

“…Buna ilaveten, altının temel ekonomik değişkenlerden gelen şoklara olan tepkisi, diğer değişkenlerin aynı şoklara verdiği tepkiyle farklılaşmamakta ve bu da altının kriz dönemlerinde güçlü bir güvenli liman olarak hizmet etmediği anlamına gelmektedir. Yunus (2020) netice itibariyle altın ve diğer varlık sınıfları arasındaki ilişkinin zamana göre değişkenlik gösterdiği sonucuna varmıştır.…”

Section: Li̇teratürunclassified

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Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

Camgöz

2022

Muhasebe Ve Finansman Dergisi

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Economic developments and the uncertainty in risk factors can change the relationships between asset classes over time. Assuming that the relations between financial markets are of static in nature will result in erroneous investment and policy decisions, even if they are dynamic in reality. Focusing on the causality relationships between bond and stock markets, which has a central point of finance theory, this study aims to reveal whether there is symmetric and asymmetric causality relationship from bond market to the stock market, and if there is, whether this relationship changes over time. Dynamic symmetric and asymmetric causality tests developed by Hatemi-J (2021) are adopted as the analysis method. Dynamic symmetric and asymmetric causality test findings show that the causality relationship from bond market to the stock market changes over time. In conclusion, this study suggest that static models can lead to biased decisions such as hedging, diversification and asset allocation by demonstrating the structural changes and time dependency in the causal relationships between the bond and the stock market.

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Section: Li̇teratürunclassified

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

Camgöz

2022

Muhasebe Ve Finansman Dergisi

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“…During a shock to the market, corporate bonds tend to induce a negative response toward other assets, thus failed to perform as a safe instrument (Yunus, 2020). Contradicting, analysed the capital market of Indonesia and Malaysia, Robiyanto (2018b) suggested investors to invest in corporate bonds as both hedge and safe haven.…”

Section: Corporate Bonds As a Safe Havenmentioning

confidence: 99%

Bond as a Safe Haven During Market Crash: Examination of Covid-19 Pandemic in Asean-5

Siahaan

Robiyanto

2021

jmk

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The central aim of this paper is to examine the effectiveness of corporate bonds and government bonds against the stock price fluctuation in ASEAN-5 countries (Indonesia, Malaysia, Philippines, Thailand and Singapore). Highlighting an important event of COVID-19, we investigate whether bonds provide protection by utilizing Q-REG method. The noteworthy finding is that bonds consistently act as a hedge for Malaysia and Philippines, while regarded as a diversifier for Indonesia’s capital market. However, this study observed that corporate bonds successfully become a strong safe haven for Thailand and Singapore capital market. Similar result was also found for Singapore government bonds which provides a valuable return during the pandemic of COVID-19.

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“…Another conduit in this direction reveals the linkages of time-varying dependence and comovements between gold and other asset classes (e.g., Bouri et al, 2017;Biswal, & Roubaud, 2017;Schweikert, 2018;Yunus, 2020). Choudhry et al (2015) and Reboredo and Ugolini (2017) found asymmetric causality linkage between gold, commodities, and stock prices.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In the same vein, Bouri et al (2018) explore the time-varying correlations and nonlinear quantile effects of gold and commodities index on Bitcoin. Schweikert (2018) document the long-term association between silver and gold, whereas Yunus (2020) identifies interdependence between real estate, gold, bond, and equity markets. Boukhatem, J. et al (2020) conclude that the connectedness between bond market and macroeconomic variables is significant and pronounced in emerging economies during turmoil periods.…”

Section: Literature Reviewmentioning

confidence: 99%

Time-frequency information transmission among financial markets: evidence from implied volatility

et al. 2021

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In this paper, we utilize the Chicago Board Option Exchange (CBOE) implied volatility indices to estimate the time-frequency information transmission among financial markets from 01.08.2008 to 31.10.2019. In doing so, we utilize the rolling window wavelet correlation (RWWC), Diebold & Yilmaz (2012), and Barunik & Krehlik (2018). Our empirical findings suggest short-term and long-term dynamic connectedness between implied volatility indices of alternative assets. The long-term analysis findings suggest potential hedging and diversification opportunities that can be exploited by taking offsetting positions across volatility indices. The findings confirm heterogeneity between short-term and long-term connectedness results. Our findings also show superior out of sample hedging effectiveness of GVZ. The implications of the findings are further discussed in the paper.

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Time-varying linkages among gold, stocks, bonds and real estate

Cited by 20 publications

References 91 publications

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

Bond as a Safe Haven During Market Crash: Examination of Covid-19 Pandemic in Asean-5

Time-frequency information transmission among financial markets: evidence from implied volatility

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