Safe haven assets for international stock markets: A regime-switching factor copula approach

2022 ◽  
Vol 60 ◽  
pp. 101591
Author(s):  
Minoru Tachibana
Keyword(s):  
Stock Markets ◽  
Regime Switching ◽  
Safe Haven ◽  
International Stock Markets ◽  
Copula Approach

scholarly journals On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

2022 ◽  
Vol 2022 ◽  
pp. 1-16
Author(s):  
Qian Wang ◽  
Yu Wei ◽  
Yao Wang ◽  
Yuntong Liu
Keyword(s):  
Stock Markets ◽  
Spillover Effects ◽  
Asset Markets ◽  
External Shocks ◽  
Safe Haven ◽  
Index Method ◽  
International Stock Markets ◽  
Financial Speculation ◽  
Market Turbulence ◽  
Developed Stock Markets

Stock market is susceptible to various external shocks for its tight dependence on economic fundamentals, financial speculation, and fragile emotions in massive traders, making it a very risky market for investors. In this paper, we aim to identify whether commonly recognized safe-haven assets, that is, bitcoin, gold, and commodities, can provide investors with effective hedging utility in international stock markets, especially during periods of extreme market turbulence. By using the spillover index method based on the TVP-VAR model, we find that firstly, bitcoin, gold, and commodities can only offer weak hedging effects on stock markets. Furthermore, their abilities to act as a safe haven are ranked as: commodities > gold > bitcoin. Secondly, in general, we have observed the increasing hedging ability of these safe-haven assets in times of extreme market turmoil. Thirdly, among international stock and safe-haven asset markets, the world and the developed stock markets act as the net spillover transmitters, while bitcoin, gold, and commodities are the net recipients. Lastly, the total spillover effects are time-varying and increase significantly after the outbreak of extreme events.

Investor Overreaction in International Stock Markets

CFA Digest ◽  
2000 ◽  
Vol 30 (1) ◽  
pp. 31-32
Author(s):  
Janet Yuen
Keyword(s):  
Stock Markets ◽  
International Stock Markets

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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