Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach-Reference-Cited by-同舟云学术

Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach

Published:2023-10 Issue:4 Volume:13 Page:
ISSN:2158-2440
Container-title:SAGE Open
language:en
Short-container-title:SAGE Open

Author:

Chang Meng-Shiuh¹^ORCID,Chen Meng-Wei²^ORCID,Ju Peijie³

Affiliation:

1. Putian University, Fujian, China

2. Nanjing Audit University, Jiangsu, China

3. University of Bristol, Bristol, UK

Abstract

We examine the hedging/safe-haven ability of gold, the US dollar, bonds, crude oil, and Bitcoin against stocks using the unconditional quantile regression (UQR). We reveal that hedging (safe-haven) effect generally decreases (increases) with the quantiles of asset returns and find an asymmetric flight from stocks to the US dollar as well as asymmetric stock-gold, stock-bond, and stock-oil contagion. Finally, we find a connection between the asymmetric safe haven and asymmetric cross-asset flights/contagion. Therefore, investors seeking hedging and safe-haven assets and investigating flights or contagion should consider the feature of extremes of assets returns.JEL: C13; G11; G14

Publisher

SAGE Publications

Subject

General Social Sciences,General Arts and Humanities

Link

http://journals.sagepub.com/doi/pdf/10.1177/21582440231208536

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