Browsing by Author "Baur, Dirk"

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Browsing by Author "Baur, Dirk"

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  • Baur, Dirk (Elsevier, 2013)
    This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive ...
  • Baur, Dirk; Glover, Kristoffer (Auckland Centre for Financial Research, Auckland University of Technology, 2012)
    Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate ...
  • Baur, Dirk; Mckeating, C (Fitness Information Technology, 2011)
    This study analyzes the effects of initial public offerings (IPO) on the performance of European football clubs. We use a unique panel dataset consisting of domestic and international performance data to investigate a ...
  • Baur, Dirk (Elsevier Inc, 2012)
    This paper studies the spread of the Global Financial Crisis of 2007-2009 from the financial sector to the real economy by examining ten sectors in 25 major developed and emerging stock markets. The analysis tests different ...
  • Baur, Dirk; Lucey, Brian (Elsevier, 2009)
    This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics ...
  • Baur, Dirk; Lucey, Brian (InterScience, 2010)
    Is gold a hedge, defined as a security that is uncorrelated with stocks or bonds on average, or is it a safe haven, defined as a security that is uncorrelated with stocks and bonds in a market crash? We study constant and ...
  • Baur, Dirk; Mcdermott, T (Elsevier Inc, 2010)
    The aim of this paper is to examine the role of gold in the global financial system. We test the hypothesis that gold represents a safe haven against stocks of major emerging and developing countries. A descriptive and ...
  • Baur, Dirk; Fry, Renee (Elsevier BV, 2009)
    This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, ...
  • Baur, Dirk (InderScience, 2010)
    This study analyzes the correlation of stock and bond indices for eight developed countries. We compare a country's stock-bond linkages with cross-country linkages and find that the former exhibit a negative trend in ...
  • Baur, Dirk; Dimpfl, T; Jung, R (Elsevier, 2012)
    The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables ...
  • Baur, Dirk (EFMA, 2010)
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