Determining hedges and safe havens for stocks using interval analysis |
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| Institution: | 1. School of Business, Hubei University, Hubei 420062, China;2. Department of Economics, University of Bristol, Bristol BS8 1QU, UK;3. Chung-Hua Institution for Economic Research, Taipei, Taiwan, ROC;1. Seoul National University Business School, 1 Gwanak Ro, Gwanak Gu, Seoul 08826, Korea;2. Department of Statistics and Actuarial Science, Soongsil University, 369 Sangdo-Ro, Dongjak-Gu, Seoul 06978, Korea;1. School of Finance, Nanjing Agricultural University, Nanjing, China;2. School of Economics and Management, Southeast University, Nanjing, China;1. School of Business Administration, Widener University, One University Place, Chester, PA 19013;2. Professor (Emeritus) and Distinguished University Professor, School of Business Administration, Widener University, One University Place, Chester, PA 19013;1. College of Business Administration, Hunan University, Changsha 410082, China;2. College of Finance and Statistics, Hunan University, Changsha 410079, China;3. Business School, Ningbo University, Ningbo 315211, China |
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| 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. |
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| Keywords: | Government bond Gold US dollar Interval time series Safe haven C13 G11 G14 |
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