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Return and volatility transmission between gold and stock sectors: Application of portfolio management and hedging effectiveness

The paper investigates the first and second orders moment transmission between gold and Indian industrial sectors with an application of portfolio design and hedging effectiveness using generalised VAR-ADCC-BVGARCH model. Our findings indicate unidirectional significant return spillover from gold to...

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Autor principal: Dilip Kumar
Formato: Artigo
Idioma:Inglês
Publicado em: Elsevier 2014-03-01
coleção:IIMB Management Review
Assuntos:
Gold
Hedging effectiveness
Portfolio diversification
VAR-ADCC-BVGARCH model
Hedge ratio
Acesso em linha:http://www.sciencedirect.com/science/article/pii/S0970389613001080
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