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Applied Financial Economics Volume 23, 2013 - Issue 1
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Original Articles

Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’

Takashi Miyazaki Graduate School of Economics, Kobe University, Kobe 657-8501, JapanCorrespondence[email protected]
&
Shigeyuki Hamori Faculty of Economics, Kobe University, Kobe 657-8501, Japan
Pages 27-40 | Published online: 28 Jun 2012

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Walid M. A. Ahmed & Mohamed A.E. Sleem. (2022) Time-frequency moment interdependence of equity, oil, and gold markets during the COVID-19 pandemic. Cogent Economics & Finance 10:1.
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Imran Yousaf, Shoaib Ali & Faisal Abbas. (2022) Spillovers and portfolio risk management of gold and stock markets: evidence from emerging Latin American markets. Macroeconomics and Finance in Emerging Market Economies 15:2, pages 160-176.
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Chung Baek. (2019) How are gold returns related to stock or bond returns in the U.S. market? Evidence from the past 10-year gold market. Applied Economics 51:50, pages 5490-5497.
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T. Miyazaki & S. Hamori. (2016) Asymmetric correlations in gold and other financial markets. Applied Economics 48:46, pages 4419-4425.
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Safika Praveen Sheikh, Syed Ahsan Jamil, Ahmet Faruk Aysan, Mohd Atif, Mustafa Raza Rabbani & Umar Nawaz Kayani. (2023) Do implied volatilities of stock and commodity markets affect conventional & shariah indices differently? An evidence by OVX, GVZ and VIX. Heliyon, pages e21094.
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Ihsan Erdem Kayral, Ahmed Jeribi & Sahar Loukil. (2023) Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?. Journal of Risk and Financial Management 16:4, pages 222.
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A. Galip Gençyürek & Ramazan Ekinci. (2023) Safe-haven and hedging roles of precious metals for BRICS and Turkey. Borsa Istanbul Review 23:2, pages 297-321.
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Mustafa Tevfik KARTAL, Hasan Murat ERTUĞRUL & Fatih AYHAN. (2022) DETERMINANTS OF SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS IN EMERGING COUNTRIES: EVIDENCE FROM TURKEYGelişmekte Olan Ülkelerde Kredi Temerrüt Takası (CDS) Primlerinin Belirleyicileri: Türkiye'den Kanıtlar. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40:4, pages 742-761.
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Aktham Maghyereh, Basel Awartani & Nader S. Virk. (2022) Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices. Resources Policy 79, pages 103108.
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Mohd Fahmi Ghazali, Nurul Fasyah Mohd Ussdek, Hooi Hooi Lean & Jude W. Taunson. (2021) Does Gold Still Shelter Inflation, and, if so, When? Evidence From Four Countries. Asia-Pacific Journal of Operational Research 39:04.
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Stefano Piserà & Helen Chiappini. (2022) Are ESG indexes a safe-haven or hedging asset? Evidence from the COVID-19 pandemic in China. International Journal of Emerging Markets.
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Mustafa Tevfik KARTAL, Serpil KILIÇ DEPREN & Özer DEPREN. (2022) SOVEREIGN CREDIT DEFAULT SWAP (CDS) SPREADS CHANGES IN VARIOUS ECONOMIC CONJUNCTURES: EVIDENCE FROM TURKEY BY MACHINE LEARNING ALGORITHMS. Yönetim ve Ekonomi Araştırmaları Dergisi 20:1, pages 354-374.
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Imran Yousaf, Hasan Hanif, Shoaib Ali & Syed Moudud-Ul-Huq. (2021) Linkages between gold and Latin American equity markets: portfolio implications. Journal of Economics, Finance and Administrative Science 26:52, pages 237-251.
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Özer Depren, Mustafa Tevfik Kartal & Serpil Kılıç Depren. (2021) Changes of gold prices in COVID-19 pandemic: Daily evidence from Turkey's monetary policy measures with selected determinants. Technological Forecasting and Social Change 170, pages 120884.
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Neeraj Nautiyal & Vinay Kandpal. (2021) Nonlinearity Between Economic Indicators and Indian Capital Market. FIIB Business Review, pages 231971452110354.
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Levent Sumer & Beliz Ozorhon. (2020) Investing in gold or REIT index in Turkey: evidence from global financial crisis, 2018 Turkish currency crisis and COVID-19 crisis. Journal of European Real Estate Research 14:1, pages 84-99.
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Walid Mensi, Muhammad Shafiullah, Xuan Vinh Vo & Sang Hoon Kang. (2021) Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. Resources Policy 71, pages 102002.
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Oluwasegun B. Adekoya, Johnson A. Oliyide & Gabriel O. Oduyemi. (2021) How COVID-19 upturns the hedging potentials of gold against oil and stock markets risks: Nonlinear evidences through threshold regression and markov-regime switching models. Resources Policy 70, pages 101926.
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M. F. Ghazali, N. F. Mohd Ussdek, H. Amin & M. Z. Muhammad. 2021. The Importance of New Technologies and Entrepreneurship in Business Development: In The Context of Economic Diversity in Developing Countries. The Importance of New Technologies and Entrepreneurship in Business Development: In The Context of Economic Diversity in Developing Countries 1108 1128 .
Mehmet Balcilar, Zeynel Abidin Ozdemir & Huseyin Ozdemir. (2019) Dynamic return and volatility spillovers among S&P 500, crude oil, and gold. International Journal of Finance & Economics 26:1, pages 153-170.
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Nafeesa Yunus. (2020) Time-varying linkages among gold, stocks, bonds and real estate. The Quarterly Review of Economics and Finance 77, pages 165-185.
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Mohsen Bahmani-Oskooee, Seyed Hesam Ghodsi & Muris Hadzic. (2020) Asymmetric causality between stock returns and usual hedges: An industry-level analysis. The Journal of Economic Asymmetries 21, pages e00160.
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MOHD FAHMI GHAZALI, HOOI HOOI LEAN & ZAKARIA BAHARI. (2019) DOES GOLD INVESTMENT OFFER PROTECTION AGAINST STOCK MARKET LOSSES? EVIDENCE FROM FIVE COUNTRIES. The Singapore Economic Review 65:02, pages 275-301.
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Ling Lin, Yuanpei Kuang, Yong Jiang & Xianfang Su. (2019) Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. The North American Journal of Economics and Finance 50, pages 101035.
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Riadh El Abed & Amna Zardoub. (2019) On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach. International Economics and Economic Policy 16:4, pages 701-719.
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Takashi Miyazaki. (2019) Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions. Journal of Risk and Financial Management 12:1, pages 33.
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Muhammad AftabSyed Zulfiqar Ali ShahIzlin Ismail. (2018) Does Gold Act as a Hedge or a Safe Haven against Equity and Currency in Asia?. Global Business Review 20:1, pages 105-118.
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Lu Yang, Lei Yang & Shigeyuki Hamori. (2018) Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. International Review of Financial Analysis 59, pages 19-34.
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Yuki Toyoshima. (2018) Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. Journal of Risk and Financial Management 11:2, pages 21.
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TAKASHI MIYAZAKI & SHIGEYUKI HAMORI. (2018) THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH. Annals of Financial Economics 13:01, pages 1850004.
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Fathi Abid & Bilel Kaffel. (2018) Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. Physica A: Statistical Mechanics and its Applications 490, pages 1028-1045.
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Zheng Wei & Daeyoung Kim. (2018) On multivariate asymmetric dependence using multivariate skew-normal copula-based regression. International Journal of Approximate Reasoning 92, pages 376-391.
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Aktham I. Maghyereh, Basel Awartani & Panagiotis Tziogkidis. (2017) Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics 68, pages 440-453.
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Yingying Han, Pu Gong & Xiang Zhou. (2016) Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models. Physica A: Statistical Mechanics and its Applications 444, pages 940-953.
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Taufiq Choudhry, Syed S. Hassan & Sarosh Shabi. (2015) Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests. International Review of Financial Analysis 41, pages 247-256.
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Tshilidzi MarwalaTshilidzi Marwala. 2013. Economic Modeling Using Artificial Intelligence Methods. Economic Modeling Using Artificial Intelligence Methods 137 154 .

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