- Title
- Time‐varying linkage of possible safe haven assets: A cross‐market and cross‐asset analysis
- Creator
- Nguyen, Phong; Liu, Wei‐han
- Date
- 2017
- Type
- Text; Journal article
- Identifier
- http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/185574
- Identifier
- vital:16711
- Identifier
-
https://doi.org/10.1111/irfi.12089
- Identifier
- ISBN:1369-412X
- Abstract
- This paper contributes to applying the time‐varying symmetrized Joe–Clayton copula to study the dynamic linkage among possible safe haven assets (SHAs) in the major international markets over the past 34 years. We re‐examine four major asset types (long‐term government bonds, equity indices, oil, and gold) and test whether they are qualified individually as a safe haven asset against when paired against each other in a specific market. The empirical analyses indicate that: (1) Government bonds are generally confirmed SHAs. (2) Gold and oil are overwhelming SHAs against government bond across the markets. (3) US and East Asian markets (Japan, Australia and New Zealand) have more SHA options than the other regions against equity index.
- Publisher
- Oxford: Blackwell Publishing Ltd
- Relation
- International review of finance Vol. 17, no. 1 (2017), p. 43-76
- Rights
- All metadata describing materials held in, or linked to, the repository is freely available under a CC0 licence
- Rights
- Copyright Oxford
- Subject
- Bond markets; Equity funds; Gold markets; Government bonds; International finance; Investment policy; Petroleum industry; Securities markets; Studies; 3501 Accounting, auditing and accountability; 3502 Banking, finance and investment
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