Dr Dirk Baur


Dirk obtained a M.Sc. in Economics and a Ph.D. in Financial Econometrics from the University of Tubingen, Germany. Dirk worked for the Joint Research Centre of the European Commission from 2002-2005 where his main tasks were the execution of economic impact assessments of changes in the regulatory framework of the financial system within the European Union. In 2005, Dirk assumed a post-doc position at Trinity College Dublin and became a Lecturer in Finance at Dublin City University in 2007. Dirk joined the School of Finance and Economics in November 2009. His main research interests are the modelling and estimation of dependence, financial crises, financial contagion and the role of gold in the global financial system. His papers have been published in the Journal of Money and Finance, Japan and the World Economy, Journal of Multinational Financial Management, Journal of Financial Stability, Journal of International Financial Markets, Institutions and Money and the Journal of Banking and Finance.

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Associate Professor, Finance Discipline Group
Core Member, Quantitative Finance Research Centre
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Conference Papers

Baur, D.G. 2011, 'Financialization and contagion', Infiniti Confence, Dublin, Ireland, June 2011.
Baur, D.G. 2011, 'Financialization and contagion', Seminar Presentation, Bank of Italy, Rome, Italy, June 2011.
Baur, D.G. 2011, 'The financialization of commodities, contagion and synchronization', International Finance and Banking Society Conference 2011, Rome, Italy, June 2011.
Baur, D.G. 2010, 'The risk of beta - Investor learning and prospect theory', 19th Meeting of the New Zealand Econometric Study Group, Auckalnd, New Zealand, February 2010.
Baur, D.G., Dimpfl, T. & Jung, R. 2010, 'Stock return autocorrelations revisited: A quantile regression approach', Annual Conference of the Multinational Finance Society, Barcelona, Spain, June 2010.
Baur, D.G. & Schulze, N. 2010, 'The risk of beta - Investor learning and prospect theory', Annual Conference of the Multinational Finance Society, Barcelona, Spain, June 2010.
Baur, D.G. 2010, 'The volatility of gold', European Financial Management Association Conference, Aarhus, Denmark, June 2010.
Baur, D.G. 2010, 'The risk of beta - Investor learning and prospect theory', Seminar Presentation, Deutsche Bundesbank, Frankfurt, Germany, July 2010.
Baur, D.G. 2010, 'The degree and structure of (inter-) dependence: A quantile regression approach', Quantitative Methods in Finance 2010 Conference, Sydney, Australia, December 2010.
Baur, D.G. 2010, 'The volatility of gold', European Financial Management Association Conference, Aarhus, Denmark, June 2010 in Proceedings of the European Financial Management Association 2010 Meetings, ed Doukas, JA, EFMA, Aarhus, Denmark, pp. 1-27.
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Journal Articles

Baur, D.G. & Glover, K. 2014, 'Heterogeneous expectations in the gold market: Specification and estimation', Journal of Economic Dynamics and Control, vol. 40, no. 1, pp. 116-133.
Baur, D.G. 2013, 'The autumn effect of gold', Research in International Business and Finance, vol. 27, no. 1, pp. 1-11.
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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 and statistically significant gold price changes. This +autumn effect+ holds unconditionally and conditional on several risk factors. We argue that the anomaly can be explained with hedging demand by investors in anticipation of the +Halloween effect+ in the stock market, wedding season gold jewelery demand in India and negative investor sentiment due to shorter daylight time. The autumn effect can also be characterized by a higher unconditional and conditional volatility than in other seasons.
Baur, D.G. 2013, 'The structure and degree of dependence: A quantile regression approach', Journal of Banking and Finance, vol. 37, no. 3, pp. 786-798.
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The copula function defines the degree of dependence and the structure of dependence. This paper proposes an alternative framework to decompose the dependence using quantile regression. We demonstrate that the methodology provides a detailed picture of dependence including asymmetric and non-linear relationships. In addition, changes in the degree or structure of dependence can be modeled and tested for each quantile of the distribution. The empirical part applies the framework to three different sets of financial time-series and demonstrates substantial differences in dependence patterns among asset classes and through time. The analysis of 54 global equity markets shows that detailed information about the structure of dependence is crucial to adequately assess the benefits of diversification in normal times and crisis times.
Baur, D.G. 2012, 'Asymmetric volatility in the gold market', Journal of Alternative Investments, vol. 14, no. 4, pp. 26-38.
A large amount of literature has been published on volatility in equity markets and the assymetric reaction to negative and positive shocks.
Baur, D.G. 2012, 'Financial contagion and the real economy', Journal of Banking and Finance, vol. 36, no. 10, pp. 2680-2692.
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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 channels of financial contagion across countries and sectors and finds that the crisis led to an increased co-movement of returns among financial sector stocks across countries and between financial sector stocks and real economy stocks. The results demonstrate that no country and sector was immune to the adverse effects of the crisis limiting the effectiveness of portfolio diversification. However, there is clear evidence that some sectors in particular Healthcare, Telecommunications and Technology were less severely affected by the crisis.
Baur, D.G., Dimpfl, T. & Jung, R. 2012, 'Stock return autocorrelations revisited: A quantile regression approach', Journal of Empirical Finance, vol. 19, no. 2, pp. 254-265.
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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 us to study the behavior of extreme quantiles associated with large positive and negative returns in contrast to the central quantile which is closely related to the conditional mean in the least-squares regression framework Our empirical results are based on 30 years of daily, weekly and monthly returns of the stocks comprised in the Dow Jones Stoxx 600 index. We find that lower quantiles exhibit positive dependence on past returns while upper quantiles are marked by negative dependence. This pattern holds when accounting for stock specific characteristics such as market capitalization, industry, or exposure to market risk.
Baur, D.G. & Glover, K. 2012, 'The destruction of a safe haven asset?', Applied Finance Letters, vol. 1, no. 1, pp. 8-15.
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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 theoretically and empirically that investor behaviour has the potential to destroy the safe haven property of gold. The results suggest that an asset cannot be both an investment asset and an effective safe haven asset. This finding has important implications for financial stability since assets are more likely to exhibit excess comovement and volatility in the absence of a safe haven.
Baur, D.G. & Mckeating, C. 2011, 'Do Football Clubs Benefit from Initial Public Offerings?', International Journal of Sport Finance, vol. 6, no. 1, pp. 40-59.
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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 football club's on-field performance
Baur, D.G. 2011, 'Explanatory mining for gold: Contrasting evidence from simple and multiple regressions', Resources Policy, vol. 36, no. 3, pp. 265-275.
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Gold traditionally has been used as a store of value and an inflation hedge. More recently, gold is also viewed as a hedge against uncertainty and a safe haven. This paper demonstrates that many properties regularly associated with gold are only valid in a simple regression framework but significantly change in a multiple regression framework. A descriptive and econometric analysis of gold and US economic and financial variables for monthly data from 1979 to 2011 shows that gold primarily serves as a hedge against a weaker US dollar and against higher commodity prices. In contrast, gold is not a hedge against consumer price inflation. The empirical results also indicate that gold only recently evolved as a safe haven asset.
Baur, D.G. 2010, 'Stock-bond co-movements and cross-country linkages', International Journal of Banking, Accounting and Finance, vol. 2, no. 2, pp. 111-129.
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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 contrast to the positive trend observed for cross-country stock market and bond market linkages. We show that the decline of the stock-bond correlation in recent years can be explained with a more frequent portfolio rebalancing of investors due to the globalization of securities markets and implied lower international diversification benefits across similar asset classes. A test for temporal commonalities of changes in cross-country and stock-bond linkages indicates that flight-to-quality from stocks to bonds and cross-country stock market contagion occurs simultaneously.
Baur, D.G. & Lucey, B.M. 2010, 'Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold', The Financial Review, vol. 45, no. 2, pp. 217-229.
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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 time-varying relations between U.S., U.K. and German stock and bond returns and gold returns to investigate gold as a hedge and a safe haven. We find that gold is a hedge against stocks on average and a safe haven in extreme stock market conditions. A portfolio analysis further shows that the safe haven property is short-lived.
Baur, D.G. & McDermott, T. 2010, 'Is gold a safe haven? International evidence', Journal of Banking and Finance, vol. 34, no. 8, pp. 1886-1898.
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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 econometric analysis for a sample spanning a 30 year period from 1979 to 2009 shows that gold is both a hedge and a safe haven for major European stock markets and the US but not for Australia, Canada, Japan and large emerging markets such as the BRIC countries. We also distinguish between a weak and strong form of the safe haven and argue that gold may act as a stabilizing force for the financial system by reducing losses in the face of extreme negative market shocks. Looking at specific crisis periods, we find that gold was a strong safe haven for most developed markets during the peak of the recent financial crisis.
Baur, D.G. & Lucey, B.M. 2009, 'Flights and contagion - An empirical analysis of stock-bond correlations', Journal of Financial Stability, vol. 5, no. 4, pp. 339-352.
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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 and effects for the financial system. The empirical analysis for eight developed countries including the US, the UK, Germany and Japan shows that flights exist and are a common feature in many crises episodes. Our findings also reveal that flights are not merely country-specific events but occur simultaneously across countries. This indicates that there is a link between the occurrence of flights and cross-country contagion. Moreover, we show that flights enhance the resiliency of the financial markets by providing diversification benefits in times when they are needed most.
Baur, D.G. & Fry, R. 2009, 'Multivariate contagion and interdependence', Journal of Asian Economics, vol. 20, no. 4, pp. 353-366.
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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, but the possibility, to specify the source country. Application to a panel of equity returns during the Asian crisis of 1997+1998 finds that interdependencies are substantially more important than contagion. However, the periods of contagion evident show that it is short-lived, split between positive and negative movements and reverses quickly. In comparison to other Asian crisis countries, Hong Kong is the main driver of contagion in the crisis. The proposed methodology and the empirical findings provide a more detailed picture of contagion than commonly applied tests.