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

By Dilip Kumar. 2014

129 citations recorded by the source corpus.

Abstract 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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0151f527152b1a91b884d805cb1fc61e56e326fb

Citations in the corpus

• Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices (2017, unknown): “Using a multivariate GARCH model, Kumar (2014) examines the mean and variance linkages between gold prices and Indian sectoral indices, and shows unidirectional significant return spillover from gold to stock, and no evidence of a volatility spillover running from gold prices.”