Linkages between gold and Latin American equity markets: portfolio implications

Purpose The authors aim to examine the mean and volatility linkages between gold market Latin American equity markets in entire sample period two crises periods, namely US financial crisis Chinese crash. Design/methodology/approach To return spillovers, employ VAR-BEKK-GARCH model on daily data of four emerging which include Peru, Chile, Brazil Mexico, ranges from January 2000 June 2018. Findings results show that transmissions vary across stock periods. transmission is found be bidirectional Chile during crisis. Furthermore, spillover unidirectional Peru We also calculate optimal weights hedge ratios for portfolio. result suggests portfolio managers need increase weight portfolios Mexico crisis, investors may raise investment Chile. Finally, cheapest hedging strategy CHIL/GOLD whereas MEXI/GOLD Practical implications These findings have useful insights diversification, asset pricing risk management. Originality/value study's outcome provides policymakers with in-depth regarding hedging, management