Properties of Long/Short Commodity Indices in Stock and Bond Portfolios

Henriksen, Tom Erik Sønsteng

doi:10.3905/jai.2018.1.060

Cited by 10 publications

(2 citation statements)

References 46 publications

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“…Commodity indices investments are also debated assets for their safe-haven property. Some scholars believed that commodity indices are safe-haven assets to diversify risk in the stock market [24]. Bekiros et al [25] proved that commodity indices in general reduced the risk in stock and increased the risk-adjusted performance from the full sample period (2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011)(2012)(2013)(2014)(2015).…”

Section: Introductionmentioning

confidence: 99%

On the Safe‐Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

Wang

Wei

Wang

et al. 2022

Discrete Dynamics in Nature and Society

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Stock market is susceptible to various external shocks for its tight dependence on economic fundamentals, financial speculation, and fragile emotions in massive traders, making it a very risky market for investors. In this paper, we aim to identify whether commonly recognized safe-haven assets, that is, bitcoin, gold, and commodities, can provide investors with effective hedging utility in international stock markets, especially during periods of extreme market turbulence. By using the spillover index method based on the TVP-VAR model, we find that firstly, bitcoin, gold, and commodities can only offer weak hedging effects on stock markets. Furthermore, their abilities to act as a safe haven are ranked as: commodities > gold > bitcoin. Secondly, in general, we have observed the increasing hedging ability of these safe-haven assets in times of extreme market turmoil. Thirdly, among international stock and safe-haven asset markets, the world and the developed stock markets act as the net spillover transmitters, while bitcoin, gold, and commodities are the net recipients. Lastly, the total spillover effects are time-varying and increase significantly after the outbreak of extreme events.

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Section: Introductionmentioning

confidence: 99%

On the Safe‐Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

Wang

Wei

Wang

et al. 2022

Discrete Dynamics in Nature and Society

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“…The proliferation of papers examining the relationship between stock and precious metals, especially gold, is a testimony to the keen interest among researchers in understanding the hedging relationship between the two financial assets. Gold is particularly considered an important asset and effective diversifier by investors, academics and policymakers owing to some intrinsic characteristics it possesses (Conover, Jensen, Johnson, & Mercer, 2010; Henriksen, 2018; Wen & Cheng, 2018). It is seen as a financial/liquid asset which can easily be converted into cash and as a store of value as it helps hedge against inflation (see Arnold & Auer, 2015; Aye, Chang, & Gupta, 2016 for a review of the literature).…”

Section: Introductionmentioning

confidence: 99%

Hedging against risks associated with travel and tourism stocks during COVID‐19 pandemic: The role of gold

Sikiru¹,

Salisu

2021

Int. J Fin Econ

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The global lockdowns including movement restrictions during COVID‐19 pandemic impacted the hospitality business negatively and by extension the trading of related stocks such as travel & tourism stocks. Owing to the long standing hedging potential of gold, we examine whether this potential can be extended to the travel & tourism stocks in order to hedge against the associated risks caused by the current pandemic. Using daily data from January 2016 to July 2020 and constructing optimal portfolio strategies, we find that gold serves as a very strong hedge and safe haven for travel & tourism stocks, most especially in the pandemic period. This conclusion validates the inclusion of gold in the diversified portfolio of travel & tourism stocks in order to improve the risk‐adjusted return performance for investors in the sector particularly during COVID‐19 pandemic.

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Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?

Hasan

Hassan

Rashid

et al. 2021

Global Finance Journal

107

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Properties of Long/Short Commodity Indices in Stock and Bond Portfolios

Cited by 10 publications

References 46 publications

On the Safe‐Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

On the Safe‐Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

Hedging against risks associated with travel and tourism stocks during COVID‐19 pandemic: The role of gold

Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?

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