Volatility regime, inverted asymmetry, contagion, and flights in the gold market

Abstract This paper analyzes the correlation among volatility regimes, safe havens, asymmetric effects, contagions, and flights in the gold market for five considered countries during 2002–2018. Based on a two-state, quantile-based Markov-switching GJR-GARCH model, the safe-haven ability of gold against stocks and inverted asymmetric volatility is revealed to be associated with a high-volatility regime. Moreover, contagion (flight) generally occurs if, during a crisis period, the gold market is in the low (high) volatility regime. The results of this study highlight the importance of considering gold market volatility regimes in a study of the relative topics on financial asset allocation.