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Asymmetry in the dynamic conditional correlation of gold returns and stock returns

Sinsukthavorn, Kittiporn LU and Alfredsson, Haukur LU (2014) NEKP02 20141
Department of Economics
Abstract
The purpose of this thesis is to explore the possibility of asymmetry in the dynamic conditional correlation of stock returns and gold returns. We hypothesize that this asymmetry might be different for large and small firms, as a result of size specific characteristics that may influence firm profitability and risk following negative market shocks. We investigate this on three different sized U.S. stock indices during a twenty two year long period by using the dynamic conditional correlation model and the asymmetric generalized dynamic conditional correlation model. Our results show that there is asymmetry in the dynamic conditional correlation of these stock indices and gold. Furthermore, we find that the asymmetric effect is not the same... (More)
The purpose of this thesis is to explore the possibility of asymmetry in the dynamic conditional correlation of stock returns and gold returns. We hypothesize that this asymmetry might be different for large and small firms, as a result of size specific characteristics that may influence firm profitability and risk following negative market shocks. We investigate this on three different sized U.S. stock indices during a twenty two year long period by using the dynamic conditional correlation model and the asymmetric generalized dynamic conditional correlation model. Our results show that there is asymmetry in the dynamic conditional correlation of these stock indices and gold. Furthermore, we find that the asymmetric effect is not the same for large and small firms. (Less)
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author
Sinsukthavorn, Kittiporn LU and Alfredsson, Haukur LU
supervisor
organization
course
NEKP02 20141
year
type
H2 - Master's Degree (Two Years)
subject
keywords
DCC, AG-DCC, dynamic conditional correlation, asymmetry, gold, mid-cap, small-cap, size
language
English
id
4457895
date added to LUP
2014-06-16 22:40:22
date last changed
2014-06-16 22:40:22
@misc{4457895,
  abstract     = {{The purpose of this thesis is to explore the possibility of asymmetry in the dynamic conditional correlation of stock returns and gold returns. We hypothesize that this asymmetry might be different for large and small firms, as a result of size specific characteristics that may influence firm profitability and risk following negative market shocks. We investigate this on three different sized U.S. stock indices during a twenty two year long period by using the dynamic conditional correlation model and the asymmetric generalized dynamic conditional correlation model. Our results show that there is asymmetry in the dynamic conditional correlation of these stock indices and gold. Furthermore, we find that the asymmetric effect is not the same for large and small firms.}},
  author       = {{Sinsukthavorn, Kittiporn and Alfredsson, Haukur}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Asymmetry in the dynamic conditional correlation of gold returns and stock returns}},
  year         = {{2014}},
}