Open AccessLinkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash
Author(s) -
Imran Yousaf,
Shoaib Ali
Publication year - 2021
Publication title -
estudios de economía aplicada
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.123
H-Index - 6
eISSN - 1697-5731
pISSN - 1133-3197
DOI - 10.25115/eea.v39i2.3016
Subject(s) - stock market crash , emerging markets , stock (firearms) , financial crisis , volatility (finance) , stock market , financial economics , stock market bubble , diversification (marketing strategy) , crash , business , economics , monetary economics , finance , geography , context (archaeology) , archaeology , marketing , computer science , macroeconomics , programming language
This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.