|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|100762||2018||55 صفحه PDF||سفارش دهید||17873 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of International Financial Markets, Institutions and Money, Available online 2 February 2018
Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises.