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Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission

Flavin, Thomas J., Morley, Ciara E., Panopoulou, Ekaterini (2014) Identifying safe haven assets for equity investors through an analysis of the stability of shock transmission. Journal of International Financial Markets, Institutions and Money, 33 . pp. 137-154. ISSN 1042-4431. (doi:10.1016/j.intfin.2014.08.001) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.intfin.2014.08.001

Abstract

Our analysis takes the perspective of an equity fund manager who seeks a potential safe haven asset to protect her portfolio during market downturns. We employ a regime-switching framework, within which we separate common and idiosyncratic shocks, to assess the suitability of gold, 10-year and 1-year U.S. Treasury bonds. We find evidence in favour of choosing either gold or the longer-dated bond as our safe haven asset. Both deliver risk reduction benefits as equity markets plunge. In contrast, the 1-year bond is not suitable as its vulnerability to contagious idiosyncratic shocks more than offsets its ability to hedge against common risk factors.

Item Type: Article
DOI/Identification number: 10.1016/j.intfin.2014.08.001
Uncontrolled keywords: Safe haven assets; Financial market crises; Shock transmission; Regime switching
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Ekaterini Panopoulou
Date Deposited: 18 Sep 2014 15:05 UTC
Last Modified: 29 May 2019 13:06 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/43010 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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