Journal article
New evidence on hedges and safe havens for Gulf stock markets using the wavelet-based quantile
Emerging markets review, v 28, pp 155-183
Sep 2016
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the dynamic tail dependence structure for the Gulf equity indices, using the Dow Jones Islamic world emerging equity index and four macroeconomics factors (the three-month U.S. Treasury bill rate, the VIX index, gold prices and oil prices) under different market conditions and scale or investment horizons. We find little or insignificant dependence at the short investment horizon but strong asymmetric dependence at the middle and long investment horizons. Gold is a strong hedge and a safe haven at the short, middle and long run horizons for all Gulf markets.
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Details
- Title
- New evidence on hedges and safe havens for Gulf stock markets using the wavelet-based quantile
- Creators
- Walid Mensi - Tunis El Manar UniversityShawkat Hammoudeh - Drexel UniversityAviral Kumar Tiwari - Faculty of Management, IBS Hyderabad, a Constituent of IFHE (Deemed to be) University, India
- Publication Details
- Emerging markets review, v 28, pp 155-183
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000386417800009
- Scopus ID
- 2-s2.0-84991826569
- Other Identifier
- 991019168009604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics