The Study of Spillover Effects of Return and Risk Effects from Gold to Service Industry Stocks, Commerce Sector Stocks, and CP All Public Company Limited Stocks in the Post-COVID Era
Keywords:
Spillover effect, gold hedging, return, volatility, covid-19Abstract
This study aims to examine the spillover effects using the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity in Mean (DCC GARCH-in-Mean) model of gold prices in terms of returns and risks on the returns of service industry index, commerce sector index, and CP All Public Company Limited (CPALL) stocks. Daily data from January 2022 to September 2023, a period following the COVID-19 pandemic, was utilized. The findings reveal that gold returns have a significantly negative correlation with the returns of service industry, commerce sector, and CPALL. This indicates that gold can serve as a hedging instrument for investments in these sectors during the market recovery post-COVID-19. Conversely, the study did not find any correlation between gold returns and the overall Thai stock market indices (SET and mai), nor between the volatility of gold prices and the returns of any of the studied assets. These results support the notion of using gold as a hedging tool, especially for investments in the service industry and commerce sector in emerging markets during periods of economic recovery after a pandemic crisis.
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