Dynamic Linkages between Gold and Equity Prices: Evidence from Indian Financial Services and Information Technology Companies

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dc.contributor.author Shubhasis, Dey
dc.contributor.author Aravind, Sampath
dc.date.accessioned 2017-10-09T06:53:13Z
dc.date.available 2017-10-09T06:53:13Z
dc.date.issued 2017-03
dc.identifier.uri http://hdl.handle.net/2259/943
dc.description * Shubhasis Dey is an Associate Professor in Economics at the Indian Institute of Management Kozhikode, Kozhikode, India. IIMK Campus P.O., Kozhikode, Kerala 673570, India; Email: s.dey@iimk.ac.in; Phone Number (+91) 4952809115.  Aravind Sampath is an Assistant Professor in Finance at the Indian Institute of Management Kozhikode, Kozhikode, India. IIMK Campus P.O., Kozhikode, Kerala 673570, India; Email: aravinds@iimk.ac.in Phone Number (+91) 4952809232. en_US
dc.description.abstract In this paper, we use multivariate GARCH models to analyze dynamic linkages between gold and equity price returns. We model dynamic conditional correlations and volatility spillovers between these assets. Our results indicate that spot gold can be an effective hedge against stock prices. A $1 long position in the NIFTY Financial Services index can be hedged for 12 cents with a short position in spot gold and a $1 long position in the NIFTY Information Technology index can be hedged for 5 cents with a short position in spot gold. Gold also seems to act as a safe haven asset during the Global Financial Crisis period between 2007 and 2009. Our results suggest that crisis or not a prudent investor should allocate around 30 per cent of her investible assets in gold within a gold/stock portfolio. Given that in India around 41% of the population is still without access to banking services and are hence deprived of interest-earning deposits, it is not very surprising to find gold’s optimal portfolio weight to be as high as 30 per cent. en_US
dc.language.iso en en_US
dc.publisher Elsevier en_US
dc.subject Spot gold en_US
dc.subject Stock en_US
dc.subject MGARCH en_US
dc.subject Correlation en_US
dc.subject Volatility spillovers en_US
dc.title Dynamic Linkages between Gold and Equity Prices: Evidence from Indian Financial Services and Information Technology Companies en_US
dc.type Article en_US


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