Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness

被引：77
|
作者：
Kumar, Dilip [1 ]
机构：
[1] Inst Financial Management & Res, Chennai 600034, Tamil Nadu, India
来源：
IIMB MANAGEMENT REVIEW | 2014年 / 26卷 / 01期
关键词：
Gold; Hedging effectiveness; Portfolio diversification; VAR-ADCC-BVGARCH model; Hedge ratio;
D O I：
10.1016/j.iimb.2013.12.002
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to stock sectors. The negative values of estimated time varying conditional correlations are mainly observed during periods of market turbulence and crisis indicating the scope of portfolio diversification and hedging during these periods. We also estimate optimal weights, hedge ratios, and hedging effectiveness for the stock-gold portfolios. Our findings suggest that stock-gold portfolio provides better diversification benefits than stock portfolios. (C) 2014 Indian Institute of Management Bangalore. All rights reserved.
引用
收藏
页码：5 / 16
页数：12
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