Journal article
Comparative analysis of responses of risky and safe haven assets to stock market risk before and after the yield curve inversions in the U.S
International review of economics & finance, v 94, 103376
Jul 2024
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Abstract
This study examines the response of safe-haven assets (gold, US dollar) and Bitcoin to market risk before and after yield curve inversions in the U.S. market. Using the VIX volatility index and static and dynamic cross-quantilogram approach, the analysis reveals that gold and the U.S. dollar act as safe havens, showing positive responses to increased VIX values, while Bitcoin behaves as a risky asset, negatively responding to higher VIX values during market turbulence. Changes in the VIX index have an immediate impact on asset price returns, but the effect diminishes over time, suggesting the need for timely updates to investment strategies. Yield curve inversions have altered the VIX-US dollar relationship: pre-inversion changes were influential in calmer markets, but post-inversion, they played a bigger role during turbulent phases, suggesting potential changes in investor behavior and market dynamics. The findings offer practical insights for investors seeking stability and protection during uncertain market conditions.
•Gold and the US dollar act as safe havens, responding positively to higher VIX values.•Bitcoin behaves as a risky asset, showing a negative response to increased VIX during turbulence.•Changes in the VIX index immediately impact asset returns but diminish over time.•Yield curve inversions alter the VIX-US dollar relationship, impacting investor behavior.•Caution is advised with Bitcoin investing during market uncertainty.
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Details
- Title
- Comparative analysis of responses of risky and safe haven assets to stock market risk before and after the yield curve inversions in the U.S
- Creators
- Amin Sokhanvar - Cambridge Resources International, Kingston, Ontario, CanadaShawkat Hammoudeh - Drexel University
- Publication Details
- International review of economics & finance, v 94, 103376
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:001259424400001
- Scopus ID
- 2-s2.0-85196296185
- Other Identifier
- 991021889513504721
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- Collaboration types
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics