The research was conducted in order to study the interdependency between volatility in the stock market and gold prices . The data has been collected with daily, weekly and monthly frequency basis for the tenure on different time spans of a couple of years starting from 1st January 2018 to 31st December 2019, five years from 2014 to 2019 and for ten years from 2009 to 2019. The tools used to apply to the data sets are: wavelet decomposition analysis, wavelet continuous transform and cross-correlation analysis between aggregate data and each level of decomposition. The results investigate time horizons for investments in gold and rebalancing investors' portfolios in order to defend assets in periods of high volatility and unpredictability in the stock market. Based on results it was concluded that investors mostly tend to consider gold as a defensive asset against volatility on mid-term time horizons within 2 - 2.5 years.
La ricerca è stata condotta al fine di studiare l'interdipendenza tra volatilità del mercato azionario e prezzi dell'oro. I dati sono stati raccolti con cadenza giornaliera, settimanale e mensile per il mandato su diversi orizzonti temporali di un paio di anni a partire dal 1 gennaio 2018 al 31 dicembre 2019, quinquennale dal 2014 al 2019 e per dieci anni dal 2009 al 2019. Gli strumenti utilizzati per applicare ai set di dati sono: analisi di decomposizione wavelet, trasformata continua wavelet e analisi di correlazione incrociata tra dati aggregati e ciascun livello di decomposizione. I risultati indagano gli orizzonti temporali per gli investimenti in oro e il riequilibrio dei portafogli degli investitori al fine di difendere gli asset in periodi di elevata volatilità e imprevedibilità del mercato azionario. Sulla base dei risultati si è concluso che gli investitori tendono principalmente a considerare l'oro come un'attività difensiva contro la volatilità su orizzonti temporali di medio termine entro 2 - 2,5 anni. The research was conducted in order to study the interdependency between volatility in the stock market and gold prices . The data has been collected with daily, weekly and monthly frequency basis for the tenure on different time spans of a couple of years starting from 1st January 2018 to 31st December 2019, five years from 2014 to 2019 and for ten years from 2009 to 2019. The tools used to apply to the data sets are: wavelet decomposition analysis, wavelet continuous transform and cross-correlation analysis between aggregate data and each level of decomposition. The results investigate time horizons for investments in gold and rebalancing investors' portfolios in order to defend assets in periods of high volatility and unpredictability in the stock market. Based on results it was concluded that investors mostly tend to consider gold as a defensive asset against volatility on mid-term time horizons within 2 - 2.5 years.
Interdependence between Gold futures and volatility in stock markets using Wavelet decomposition analysis
SKVORTSOVA, IULIIA
2020/2021
Abstract
The research was conducted in order to study the interdependency between volatility in the stock market and gold prices . The data has been collected with daily, weekly and monthly frequency basis for the tenure on different time spans of a couple of years starting from 1st January 2018 to 31st December 2019, five years from 2014 to 2019 and for ten years from 2009 to 2019. The tools used to apply to the data sets are: wavelet decomposition analysis, wavelet continuous transform and cross-correlation analysis between aggregate data and each level of decomposition. The results investigate time horizons for investments in gold and rebalancing investors' portfolios in order to defend assets in periods of high volatility and unpredictability in the stock market. Based on results it was concluded that investors mostly tend to consider gold as a defensive asset against volatility on mid-term time horizons within 2 - 2.5 years.| File | Dimensione | Formato | |
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Thesis PDFA.pdf
Open Access dal 11/07/2023
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https://hdl.handle.net/20.500.12075/1627