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- W3010197997 abstract "In this study, authors investigate the possibility of contagion/safe haven effects during the Global Financial Crisis (GFC) of 2007-2009 for two exotic assets: rare coins and wine lvx50. The data sample is monthly comprising a rare coins and wine lvx50 indices, as well as MSCI (Morgan Stanley Capital Index) World financial index as a benchmark for world financial sector, spanning from 2000 until 2016. According to Baur and Lucey (2010) an asset may be characterized as safe haven, by the following definition: “A safe haven is defined as an asset that is uncorrelated or negatively correlated with another asset or portfolio in times of market stress or turmoil”. Employing a bivariate GARCH (1,1)-DCC model, authors uncover significant evidence of contagion effects among the MSCI World Financial and wine lvx50, while the pair MSCI World Financial and rare coins show a safe haven behaviour. These findings confirm a specific pattern of contagious and safe haven behaviors that provide important implications for international investors." @default.
- W3010197997 created "2020-03-13" @default.
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- W3010197997 date "2020-01-01" @default.
- W3010197997 modified "2023-10-14" @default.
- W3010197997 title "Are Exotic Assets Contagious?" @default.
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- W3010197997 doi "https://doi.org/10.4018/978-1-7998-2436-7.ch005" @default.
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