Safe haven assets for international stock markets: A regime-switching factor copula approach

Tachibana, Minoru

doi:10.1016/j.ribaf.2021.101591

Cited by 10 publications

(6 citation statements)

References 65 publications

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“…Both selected stock market indices account for a significant market capitalization in the US and Europe (approximately 75% in 2021) and thus may be treated as representative of these two markets. In the US and the largest economy in Europe, that is, Germany, T-Bonds and gold are regarded as safe-haven assets [e.g., Tachibana, 2022;Ugoliniet al, 2023], reducing the volatilities of the portfolio. Additionally, gold and crude oil provide a hedge against inflation.…”

Section: Selection Of Assetsmentioning

confidence: 99%

Market-moving events and their role in portfolio optimization of generations X, Y, and Z

Iwanicz-Drozdowska,

Rogowicz,

Smaga

2023

International Journal of Management and Economics

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We examine how generations X, Y, and Z might react to market-moving events over short- and long-term horizons to maintain an optimal balance among risk, return, and investor preferences. To analyze various portfolio variants, we use data on selected global assets and several types of economic and non-economic events for 2000-2021H1, applying the mean-variance optimization procedure. According to our results, in optimal portfolios, fixed-income assets dominate and are the main driver of portfolio adjustments. Portfolios with short-term horizons with less risk-averse investors and those for generation Z are the most reactive to analyzed types of events. None of the events per se creates an extraordinary opportunity to increase returns. However, expansionary monetary policy generates the greatest potential for incremental returns. Our findings provide practical implications for investors on how to adjust their portfolios in response to significant market events.

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Section: Selection Of Assetsmentioning

confidence: 99%

Market-moving events and their role in portfolio optimization of generations X, Y, and Z

Iwanicz-Drozdowska,

Rogowicz,

Smaga

2023

International Journal of Management and Economics

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“…The strong evidence in support of the Swiss Franc as an important safe haven currency involves all latest empirical contributions. Quite interestingly, this research relies on a variety of methodological approaches, ranging from cross-quantilogram analysis (Cho and Han 2021) to time-varying factor decomposition models (Fink et al 2022) and a regimeswitching factor copula approach, implemented on a large number of assets and developed and emerging stock markets (Tachibana 2022).…”

Section: Literature Reviewmentioning

confidence: 99%

Optimal Portfolio Allocation between Global Stock Indexes and Safe Haven Assets: Gold versus the Swiss Franc (1999–2021)

Tronzano

2022

JRFM

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This paper contributes to the literature on safe haven assets, analyzing gold and the Swiss Franc’s defensive properties inside various global stocks portfolios. The analysis relies on monthly data extending over the last two decades. Drawing on Multivariate Garch DCC models, the hedging effectiveness of bivariate Swiss Franc-hedged portfolios is found to be notably higher than that of gold-hedged portfolios. Value-at-Risk simulations, assuming equal or “optimal” portfolio weights, confirm these results inside a multivariate asset framework, while a regression approach with quantile dummies provides further support in this regard. Since the better hedge and safe haven properties of the Swiss Franc are likely to persist in the future, the main policy implication of the paper concerns asset allocation strategies giving relatively more weight to the Swiss currency in global stock portfolios.

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“…Aşağıda bu çalışmanın konusu ve metodolojisiyle ilgili güncel çalışmalar tanıtılmış ve bu çalışmalarda elde edilen bulgular kısaca özetlenmiştir. Tachibana (2022) 46 gelişmiş ve gelişmekte olan hisse senedi piyasası ile 20 devlet tahvili, 14 para birimi ve 2 kıymetli maden arasındaki ilişkileri inceleyerek ikinci grupta sayılan tahvil, para birimi ve kıymetli madenlerin küresel finans krizi ortamında güvenli liman özelliğini araştırmaktadır. Değişkenler arasındaki ilişkileri rejim değiştiren faktör kopula (regime switching factor copula) yöntemi ile analiz eden Tachibana'nın analiz dönemi 1999 ile 2020 yılları arasını kapsamaktadır.…”

Section: Li̇teratürunclassified

“…Bu çalışmada hisse senedi piyasasını temsilen New York Menkul Kıymetler Borsası gösterge endeksi olan S&P500 ve tahvil piyasasını temsilen ABD 10 yıllık tahvil getirileri kullanılmaktadır. Tachibana (2022) güvenli liman varlığı özelliklerini incelemiş olduğu 36 farklı değişken arasında Japon Yeninden sonra ABD devlet tahvillerinin en iyi güvenli varlık özelliği taşıdığını ortaya koymuştur. Bu nedenle mevcut çalışmada tahvil piyasalarını en iyi temsil edeceği düşünülen 10 yıl vadeli ABD hazine tahvili getirilerinin kullanılması kararlaştırılmıştır.…”

Section: Veri̇ Seti̇unclassified

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

Camgöz

2022

Muhasebe Ve Finansman Dergisi

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Economic developments and the uncertainty in risk factors can change the relationships between asset classes over time. Assuming that the relations between financial markets are of static in nature will result in erroneous investment and policy decisions, even if they are dynamic in reality. Focusing on the causality relationships between bond and stock markets, which has a central point of finance theory, this study aims to reveal whether there is symmetric and asymmetric causality relationship from bond market to the stock market, and if there is, whether this relationship changes over time. Dynamic symmetric and asymmetric causality tests developed by Hatemi-J (2021) are adopted as the analysis method. Dynamic symmetric and asymmetric causality test findings show that the causality relationship from bond market to the stock market changes over time. In conclusion, this study suggest that static models can lead to biased decisions such as hedging, diversification and asset allocation by demonstrating the structural changes and time dependency in the causal relationships between the bond and the stock market.

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Safe haven assets for international stock markets: A regime-switching factor copula approach

Cited by 10 publications

References 65 publications

Market-moving events and their role in portfolio optimization of generations X, Y, and Z

Market-moving events and their role in portfolio optimization of generations X, Y, and Z

Optimal Portfolio Allocation between Global Stock Indexes and Safe Haven Assets: Gold versus the Swiss Franc (1999–2021)

Tahvil ve Hisse Senedi Piyasaları Arasında Zamanla Değişen Nedensellik İlişkileri: Hatemi-J Dinamik Nedensellik Testi Bulguları

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