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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240501T080000
DTEND;TZID=America/Chicago:20240501T170000
DTSTAMP:20260521T184456
CREATED:20240501T160730Z
LAST-MODIFIED:20240501T160730Z
UID:1401-1714550400-1714582800@www.math.ttu.edu
SUMMARY:Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress
DESCRIPTION:Speaker: Prof. Md. Rayfayet Alam\, Dept. of Finance and Economics\, University of Tennessee at Chattanooga \nAbstract: This study evaluates the potential of gold-backed cryptocurrencies\, such as Tether Gold and PAX Gold\, as a hedge and safe haven against global\, regional\, and categorical financial stresses. Hedge and safe haven properties of gold-backed cryptocurrencies are also compared with those of gold and Bitcoin. For the analyses\, dynamic conditional correlation (DCC) and quantile coherency techniques are applied to daily data from February 2020 to March 2023. The results show that Tether Gold and PAX Gold are strong safe havens against the US and equity-valuation-related financial stress but weak safe havens against global financial stress. Tether Gold is a weak safe haven against credit-related financial stress as well. Tether Gold is a strong hedge against US financial stress but a weak hedge against aggregate financial stress of developed economies and that of emerging economies. In our sample\, gold-backed cryptocurrencies usually outperform gold and Bitcoin as a hedge and safe haven against financial stresses. The Quantile coherency analysis shows that Tether Gold is a hedge against low to moderate financial stress and a safe haven against extreme financial stresses. These findings have important implications for investors\, risk-managers and policy makers.
URL:https://www.math.ttu.edu/mathematicalfinance/event/gold-backed-cryptocurrencies-a-hedging-tool-against-categorical-and-regional-financial-stress/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
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