Is gold a Sometime Safe Haven or an Always Hedge for Equity Investors? A Markov-Switching CAPM Approach for US and UK Stock Indices

He, Zhen, O'Connor, Fergal and Thijssen, Jacco Johan Jacob orcid.org/0000-0001-6207-5647 (2018) Is gold a Sometime Safe Haven or an Always Hedge for Equity Investors? A Markov-Switching CAPM Approach for US and UK Stock Indices. International Review of Financial Analysis. pp. 30-37. ISSN 1057-5219

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Copyright, Publisher and Additional Information: © 2018 Elsevier Inc. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Beta,CAPM,FTSE100,Gold,Hedge,Markov-switching model,S&P500,Safe Haven,Stock markets,UK,US,Finance,Economics and Econometrics
Dates:
  • Accepted: 23 August 2018
  • Published: November 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > The York Management School
Depositing User: Pure (York)
Date Deposited: 19 Sep 2018 08:50
Last Modified: 07 Jan 2022 01:05
Published Version: https://doi.org/10.1016/j.irfa.2018.08.010
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.irfa.2018.08.010
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