Munich Personal RePEc Archive

Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis

Baumöhl, Eduard and Lyócsa, Štefan (2017): Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis.

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Abstract

We address the safe haven properties of gold relative to US stock market sector indices using the bivariate cross-quantilogram of Han et al. (2016). Splitting our sample into pre- and post-crisis periods, our results show that the safe haven properties of gold have a changing nature. Before and after the financial crisis, we find only limited quantile dependence and that gold can be considered a safe haven for most of the sectors, except Industrials. On a full sample (1999-2016), there are only three sectors – Healthcare, IT, and Telecommunication services – for which gold can be considered a safe haven.

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