G5 Doctoral dissertation (article)
Gimme shelter : hedges and safe havens in banking and equity markets (2024)
Anna minulle suojaa : riskien suojaus ja turvasatamat pankkitoiminnassa ja osakesijoittamisessa
Raatikainen, J. (2024). Gimme shelter : hedges and safe havens in banking and equity markets [Doctoral dissertation]. University of Jyväskylä. JYU Dissertations, 787. https://urn.fi/URN:ISBN:978-952-86-0163-0
JYU authors or editors
Publication details
All authors or editors: Raatikainen, Juhani
eISBN: 978-952-86-0163-0
Journal or series: JYU Dissertations
eISSN: 2489-9003
Publication year: 2024
Number in series: 787
Number of pages in the book: 1 verkkoaineisto (58 sivua, 94 sivua useina numerointijaksoina, 3 numeroimatonta sivua)
Publisher: University of Jyväskylä
Place of Publication: Jyväskylä
Publication country: Finland
Publication language: English
Persistent website address: https://urn.fi/URN:ISBN:978-952-86-0163-0
Publication open access: Openly available
Publication channel open access: Open Access channel
Abstract
The topic of the first essay is to investigate dynamic connections between stock and gold markets and some popular risk measures. My results confirm that gold is a strong safe haven for US equity market investors. In addition, I present new evidence suggesting that the safe haven property lasts longer than usually thought and the strength of the safe haven property increases with the size of the stock price decrease. The latter result challenges previously published research. In addition, the first essay shows that the impact of exogenous shocks, such as, terrorist attacks and geopolitical tensions, have larger and more complicated impact on markets than has previously been understood.
The second essay investigates the relationship between stock, gold, and crude oil markets. One of the key contributions of the second essay is the analysis of the dynamic minimum variance portfolio weights of portfolios consisting of 1) a crude oil, gold, and S&P 500 portfolio, and 2) a crude oil, gold, and S&P 500 Energy IG portfolio. Both crude oil and gold are a safe haven for both portfolios, but gold is better and more efficient during crisis periods. The most important contribution of the second essay is the finding, that when the crude oil futures curve is in contango, the dynamic correlation between the crude oil futures and stock market returns is the highest, and, when the futures market is in normal backwardation the correlation is low or negative.
The third essay analyzes profitability of Finnish cooperative banks during negative interest rates. We use highly confidential monthly data of Finnish cooperative banks over the period 1/2009–12/2018. Our methodological choice is unique: we construct time series of variables of different banking groups, and we apply VAR and DCC-GARCH analysis. We find that profitability of Finnish cooperative banks has not decreased significantly even during negative rates, even though the net interest margin has fallen. Banks’ profitability and reactions to low and negative rates differ significantly between different bank size groups. The introduction of negative interest rates has shifted banks’ funding structure more to wholesale-based funding. The impact is strongest in the group of the largest banks.
Keywords: economic crises; banks (monetary institutions); risk management; investment in shares; security market; capital market; profits; interest (economics); gold; crude oil; doctoral dissertations
Free keywords: crisis; safe haven; commodity markets; equity markets; banks; profitability; negative interest rates
Contributing organizations
Ministry reporting: Yes
