Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach
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 flig...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2023-11-01
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| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440231208536 |
| _version_ | 1797615431906754560 |
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| author | Meng-Shiuh Chang Meng-Wei Chen Peijie Ju |
| author_facet | Meng-Shiuh Chang Meng-Wei Chen Peijie Ju |
| author_sort | Meng-Shiuh Chang |
| collection | DOAJ |
| description | 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 |
| first_indexed | 2024-03-11T07:26:14Z |
| format | Article |
| id | doaj.art-21531db4c7d6411e8dc6e095325a46a4 |
| institution | Directory Open Access Journal |
| issn | 2158-2440 |
| language | English |
| last_indexed | 2024-03-11T07:26:14Z |
| publishDate | 2023-11-01 |
| publisher | SAGE Publishing |
| record_format | Article |
| series | SAGE Open |
| spelling | doaj.art-21531db4c7d6411e8dc6e095325a46a42023-11-17T07:33:50ZengSAGE PublishingSAGE Open2158-24402023-11-011310.1177/21582440231208536Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression ApproachMeng-Shiuh Chang0Meng-Wei Chen1Peijie Ju2Putian University, Fujian, ChinaNanjing Audit University, Jiangsu, ChinaUniversity of Bristol, Bristol, UKWe 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; G14https://doi.org/10.1177/21582440231208536 |
| spellingShingle | Meng-Shiuh Chang Meng-Wei Chen Peijie Ju Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach SAGE Open |
| title | Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach |
| title_full | Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach |
| title_fullStr | Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach |
| title_full_unstemmed | Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach |
| title_short | Asymmetry in Hedges, Safe Havens, Flights and Contagion: Unconditional Quantile Regression Approach |
| title_sort | asymmetry in hedges safe havens flights and contagion unconditional quantile regression approach |
| url | https://doi.org/10.1177/21582440231208536 |
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