World gold prices and stock returns in China: Insights for hedging and diversification strategies
By Mohamed Arouri, Amine Lahiani, Duc Khuong Nguyen. 2015
312 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/238eea2b3ef7e8ff792eb303820980ce5602d28e
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Brian M. Lucey
- Shaen Corbet
- Robert L. Czudaj
- J. Beckmann
- Theo Berger
- Sang Hoon Kang
- Paraskevi Katsiampa
- Refk Selmi
In Finance
- Robert L. Czudaj
- J. Beckmann
- Sang Hoon Kang
- Seong‐Min Yoon
- Refk Selmi
- D. Godil
- Ron P. McIver
- Shaen Corbet
Citations in the corpus
- High frequency volatility co-movements in cryptocurrency markets (2019, methodology): “Haixia and Shiping [2013] identified evidence of uni-directional spillover effects from crude oil markets to corn and fuel ethanol markets when analysing commodity markets in China using a BEKK-MGARCH model with further evidence of double-directional spillovers between corn and fuel ethanol, while i”
- Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, methodology): “1 Many studies have researched the oil–stock nexus (e.g. Hammoudeh et al., 2004; Filis et al., 2011; Arouri et al., 2012; Sadorsky, 2012, 2014; Mensi et al., 2014; Salisu and Oloko, 2015) and the gold–stock nexus (e.g. Baur and McDermott, 2010; Hood and Malik, 2013; Arouri et al., 2015).”
- How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “Arouri et al. (2015) analyzed the return volatility distributions between gold prices and the Chinese stock exchange from 2004 to 2011 and found the existence of volatility cross-effects.”
- Measuring the response of gold prices to uncertainty: An analysis beyond the mean (2018, background): “r turmoil (Hartmann et al. 2004; Baur and McDermott, 2010; Baur and Lucey, 2010; Wang et al., 2011; Miyazaki et al., 2012; Ciner et al. 2013; Mensi et al., 2013; Reboredo, 2013; Wang and Chueh, 2013; Arouri et al., 2015 ; Bampinas and Panagiotidi, 2015; Beckmann et al., 2015; Nguyen et al., 2016; Va”
- Gold price dynamics and the role of uncertainty (2018, background): “stocks Arouri et al. (2015) 2004 to 2011 daily China VAR-GARCH, multivariate GARCH hedge & safe haven for stocks”