References contributed by 3079420_41464431244940
A. Alqahtani, T. Klein, A. Khalid, The impact of oil price uncertainty on GCC stock markets, Resources Policy, 64 (2019), Article 101526.
A. Creti, M. Joëts, V. Mignon, On the links between stock and commodity markets' volatility, Energy Economics, 37 (2013), pp. 16-28.
A. Iglesias-Casal, M.-C. López-Penabad, C. López-Andión, J.M. Maside-Sanfiz, Diversification and optimal hedges for socially responsible investment in Brazil, Economic Modelling, 85 (2020), pp. 106-118.
A. Stensås, M.F. Nygaard, K. Kyaw, S. Treepongkaruna, Can Bitcoin be a diversifier, hedge or safe haven tool?, Cogent Economics and Finance, 7 (1) (2019).
A.A. Salisu, U.B. Ndako, T.F. Oloko, Assessing the inflation hedging of gold and palladium in OECD countries, Resources Policy, 62 (2019), pp. 357-377.
A.C. Worthington, M. Pahlavani, Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks, Applied Financial Economics Letters, 3 (4) (2007), pp. 259-262.
A.I. Maghyereh, B. Awartani, P. Tziogkidis, Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries, Energy Economics, 68 (2017), pp. 440-453.
A.K. Tiwari, E.J.A. Abakah, N.K. Karikari, S. Hammoudeh, Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification, Energy Economics, 108 (2022), Article 105891.
- B. Będowska-Sójka, A. Kliber, Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether, The North American Journal of Economics and Finance, 56 (2021), Article 101390.
Paper not yet in RePEc: Add citation now
B. Hamdi, M. Aloui, F. Alqahtani, A. Tiwari, Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis, Energy Economics, 80 (2019), pp. 536-552.
- B.-H. Kim, H. Kim, B.-S. Lee, Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries, International Review of Economics & Finance, 39 (2015), pp. 192-210.
Paper not yet in RePEc: Add citation now
B.M. Lucey, S. Li, What precious metals act as safe havens, and when? Some US evidence, Applied Economics Letters, 22 (1) (2015), pp. 35-45.
- B.M. Lucey, S.S. Sharma, S.A. Vigne, Gold and inflation(s) – A time-varying relationship, Economic Modelling, 67 (2017), pp. 88-101.
Paper not yet in RePEc: Add citation now
C. Ciner, C. Gurdgiev, B.M. Lucey, Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates, International Review of Financial Analysis, 29 (2013), pp. 202-211.
C. Dwita Mariana, I.A. Ekaputra, Z.A. Husodo, Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic, Finance Research Letters, 38 (2021), Article 101798.
C.M. Jarque, A.K. Bera, Efficient tests for normality, homoscedasticity and serial independence of regression residuals, Economics Letters, 6 (3) (1980), pp. 255-259.
- D. Dimitriou, D. Kenourgios, T. Simos, Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach, International Review of Financial Analysis, 30 (2013), pp. 46-56.
Paper not yet in RePEc: Add citation now
D.A. Dickey, W.A. Fuller, Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49 (4) (1981), pp. 1057-1072.
D.G. Baur, B.M. Lucey, Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, 45 (2) (2010), pp. 217-229.
D.G. Baur, K.J. Glover, The destruction of a safe haven asset?, Applied Finance Letters, 1 (1) (2012), pp. 8-15.
D.G. Baur, T.K. McDermott, Is gold a safe haven? International evidence, Journal of Banking & Finance, 34 (8) (2010), pp. 1886-1898.
D.G. Baur, T.K.J. McDermott, Why is gold a safe haven, Journal of Behavioral and Experimental Finance, 10 (2016), pp. 63-71.
D.H.B. Phan, P.K. Narayan, Country responses and the reaction of the stock market to COVID-19—a preliminary exposition, Emerging Markets Finance and Trade, 56 (10) (2020), pp. 2138-2150.
E. Bouri, P. Molnár, G. Azzi, D. Roubaud, L.I. Hagfors, On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier, Finance Research Letters, 20 (2017), pp. 192-198.
E. Ustaoglu, Safe-haven properties and portfolio applications of cryptocurrencies: Evidence from the emerging markets, Finance Research Letters (2022).
F. Balli, S.A. Basher, R. Jean Louis, Sectoral equity returns and portfolio diversification opportunities across the GCC region, Journal of International Financial Markets, Institutions and Money, 25 (2013), pp. 33-48.
F. Wen, X. Tong, X. Ren, Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic, International Review of Financial Analysis, 81 (2022).
G. Driesprong, B. Jacobsen, B. Maat, Striking oil: Another puzzle, Journal of Financial Economics, 89 (2) (2008), pp. 307-327.
I.D. Raheem, COVID-19 pandemic and the safe haven property of Bitcoin, The Quarterly Review of Economics and Finance, 81 (2021), pp. 370-375.
J. Junttila, J. Pesonen, J. Raatikainen, Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold, Journal of International Financial Markets, Institutions and Money, 56 (2018), pp. 255-280.
- J.-S. Yu, M.K. Hassan, Global and regional integration of the Middle East and North African (MENA) stock markets, The Quarterly Review of Economics and Finance, 48 (3) (2008), pp. 482-504.
Paper not yet in RePEc: Add citation now
J.D. Hamilton, Nonlinearities and the macroeconomic effects of oil prices, Macroeconomic Dynamics, 15 (Supplement S3) (2011), pp. 364-378.
J.D. Hamilton, Oil and the Macroeconomy since World War II, Journal of Political Economy, 91 (2) (1983), pp. 228-248.
K. Mokni, M. Youssef, A.N. Ajmi, COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies, Research in International Business and Finance, 60 (2022), Article 101573.
K.F. Kroner, J. Sultan, Time-varying distributions and dynamic hedging with foreign currency futures, The Journal of Financial and Quantitative Analysis, 28 (4) (1993), pp. 535-551.
K.H. Al-Yahyaee, W. Mensi, A. Sensoy, S.H. Kang, Energy, precious metals, and GCC stock markets: Is there any risk spillover, Pacific-Basin Finance Journal, 56 (2019), pp. 45-70.
- K.J. Forbes, R. Rigobon, No contagion, only interdependence: measuring stock market comovements, The Journal of Finance, 57 (5) (2002), pp. 2223-2261.
Paper not yet in RePEc: Add citation now
- Kamran, M., Butt, P., Abdel-Razzaq, A., & Djajadikerta, H.G. (2021). Is Bitcoin a safe haven? Application of FinTech to safeguard Australian stock markets. Studies in Economics and Finance, ahead-of-print(ahead-of-print).
Paper not yet in RePEc: Add citation now
Kroner, K.F., Ng, V.K. (1998). Modeling asymmetric comovements of asset returns. 11(4), 817–844.
L. Bauwens, S. Laurent, A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models, Journal of Business & Economic Statistics, 23 (3) (2005), pp. 346-354.
M. Akhtaruzzaman, A. Shamsuddin, S. Easton, Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms, Journal of International Financial Markets, Institutions and Money, 31 (2014), pp. 378-396.
- M. Akhtaruzzaman, S. Boubaker, A. Sensoy, Financial contagion during COVID–19 crisis, Finance Research Letters, 38 (2021), Article 101604.
Paper not yet in RePEc: Add citation now
M. Akhtaruzzaman, S. Boubaker, B.M. Lucey, A. Sensoy, Is gold a hedge or a safe-haven asset in the COVID–19 crisis, Economic Modelling, 102 (2021), Article 105588.
M. Aldubyan, A. Gasim, Energy price reform in Saudi Arabia: Modeling the economic and environmental impacts and understanding the demand response, Energy Policy, 148 (2021), Article 111941.
- M. Arbi Madani, Z. Ftiti, W. Louhichi, H. Ben Ameur, Intraday hedging and the safe haven role of Bitcoin, Bankers Markets & Investors, 163 (4) (2021), pp. 2-13.
Paper not yet in RePEc: Add citation now
M. Hood, F. Malik, Is gold the best hedge and a safe haven under changing stock market volatility, Review of Financial Economics, 22 (2) (2013), pp. 47-52.
M. Ratner, C.-C. Chiu, Hedging stock sector risk with credit default swaps, International Review of Financial Analysis, 30 (2013), pp. 18-25.
M. Shahbaz, M.I. Tahir, I. Ali, I.U. Rehman, Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks, The North American Journal of Economics and Finance, 28 (2014), pp. 190-205.
M.B. Hasan, M.K. Hassan, Z.A. Karim, M.M. Rashid, Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty, Finance Research Letters, 46 (2022), Article 102272.
M.E.H. Arouri, A. Lahiani, D.K. Nguyen, Return and volatility transmission between world oil prices and stock markets of the GCC countries, Economic Modelling, 28 (4) (2011), pp. 1815-1825.
- N. Jalkh, E. Bouri, X.V. Vo, A. Dutta, Hedging the risk of travel and leisure stocks: The role of crude oil, Tourism Economics, 27 (7) (2020), pp. 1337-1356.
Paper not yet in RePEc: Add citation now
N. Raza, S. Ali, S.J.H. Shahzad, S.A. Raza, Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach, Resources Policy, 57 (2018), pp. 10-29 N. Raza, S. Ali, S.J.H. Shahzad, M.U. Rehman, A. Salman, Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models, Resources Policy, 61 (2019), pp. 210-230.
Q. Ji, D. Zhang, Y. Zhao, Searching for safe-haven assets during the COVID-19 pandemic, International Review of Financial Analysis, 71 (2020), Article 101526.
R. Chemkha, A. BenSaïda, A. Ghorbel, T. Tayachi, Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold, The Quarterly Review of Economics and Finance, 82 (2021), pp. 71-85.
R.F. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50 (4) (1982), pp. 987-1007.
- R.F. Engle, Dynamic conditional correlation, Journal of Business & Economic Statistics, 20 (3) (2002), pp. 339-350.
Paper not yet in RePEc: Add citation now
S. Arnold, B.R. Auer, What do scientists know about inflation hedging, The North American Journal of Economics and Finance, 34 (2015), pp. 187-214.
S. Bekiros, S. Boubaker, D.K. Nguyen, G.S. Uddin, Black swan events and safe havens: The role of gold in globally integrated emerging markets, Journal of International Money and Finance, 73 (2017), pp. 317-334.
S. Kang, J.A. Hernandez, P. Sadorsky, R. McIver, Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs, Energy Economics, 99 (2021), Article 105278.
S. Neaime, The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets, Emerging Markets Review, 13 (3) (2012), pp. 268-282.
S.A. Basher, P. Sadorsky, Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH, Energy Economics, 54 (2016), pp. 235-247.
S.J.H. Shahzad, E. Bouri, D. Roubaud, L. Kristoufek, B. Lucey, Is Bitcoin a better safe-haven investment than gold and commodities, International Review of Financial Analysis, 63 (2019), pp. 322-330.
S.J.H. Shahzad, E. Bouri, D. Roubaud, L. Kristoufek, Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin, Economic Modelling, 87 (2020), pp. 212-224.
S.M. Hammoudeh, Y. Yuan, M. McAleer, Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets, The Quarterly Review of Economics and Finance, 49 (3) (2009), pp. 829-842.
- T. Bollerslev, J.M. Wooldridge, Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances, Econometric Reviews, 11 (2) (1992), pp. 143-172.
Paper not yet in RePEc: Add citation now
T. Conlon, R. McGee, Safe haven or risky hazard? Bitcoin during the Covid-19 bear market, Finance Research Letters, 35 (2020), Article 101607.
T. Klein, Dynamic correlation of precious metals and flight-to-quality in developed markets, Finance Research Letters, 23 (2017), pp. 283-290.
T.C. Chiang, B.N. Jeon, H. Li, Dynamic correlation analysis of financial contagion: Evidence from Asian markets, Journal of International Money (2007).
W. Ahmad, A.V. Mishra, K. Daly, Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets, International Review of Financial Analysis, 59 (2018), pp. 117-133. W. Ahmad, P. Sadorsky, A. Sharma, Optimal hedge ratios for clean energy equities, Economic Modelling, 72 (2018), pp. 278-295.
W. Chkili, A. Ben Rejeb, M. Arfaoui, Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold, Resources Policy, 74 (2021), Article 102407.
W. Chkili, Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries, Research in International Business and Finance, 38 (2016), pp. 22-34.
W. Mensi, I. Yousaf, X.V. Vo, S.H. Kang, Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets, Journal of International Financial Markets, Institutions and Money, 76 (2022), Article 101487.
W. Mensi, K.H. Al-Yahyaee, X.V. Vo, S.H. Kang, Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications, Economic Analysis and Policy, 71 (2021), pp. 397-419.
W. Mensi, S. Hammoudeh, I.M.W. Al-Jarrah, K.H. Al-Yahyaee, S.H. Kang, Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks, Journal of International Financial Markets, Institutions and Money, 60 (2019), pp. 68-88.
- W. Mensi, S. Hammoudeh, S.H. Kang, Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia, Economic Modelling, 51 (2015), pp. 340-358.
Paper not yet in RePEc: Add citation now
W.J. Luther, A.W. Salter, Bitcoin and the bailout, The Quarterly Review of Economics and Finance, 66 (2017), pp. 50-56.
- Z. Ftiti, W. Louhichi, H. Ben Ameur, Cryptocurrency volatility forecasting: What can we learn from the first wave of the COVID-19 outbreak, Annals of Operations Research (2021).
Paper not yet in RePEc: Add citation now