The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach

Abstract

In this study the relation between stock markets and precious metals during first wave of Covid-19 pandemic are investigated. We use a wavelet-based quantile procedure to investigate correlation between major stock markets of emerging countries (BRIC) and the United States. Our procedure reveals that precious metals offer market diversification opportunities during the period under consideration. In particular, it is found the gold, silver, platinum, and palladium, all serve as safe-haven assets during periods of market distress across short, medium and long investment horizons.

A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions

“…We pay particular attention to the safe haven property in extreme adverse market conditions. Most long and short investors are more concerned about negative markets, with quartiles below 0.3, than positive markets, with quartiles above 0.7, when they are more likely to suffer losses (Alqaralleh & Canepa, 2022). In addition, we further examine the hedging performance of the extremely quartiles in Section 5.…”

Dynamic connectedness amongst green bonds, pollution allowance policy, social responsibility and uncertainty

“…In detail, this technique is a non-parametric method that encompasses small wave functions to approximate fluctuations in time series to extract information from a sequence of numerical measurements (signals). The latter process allows for separating the high-frequency components of the series from the low-frequency components (see, for example, Alqaralleh and Canepa, 2022;Percival and Walden, 2000;Gençay et al, 2002). To save space and since wavelets are a well-established methodology, mathematical steps are eschewed here, and we only introduce the concepts and definitions useful for our purposes.…”

Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

“…Building on these early papers, a large body of empirical studies provides evidence of the hedging, the diversifying and the safe haven potential of gold and silver (see, for example, Hood and Malik, 2013;Beckmann et al, 2015;Bredin et al, 2015;Bekiros et al, 2017;Mensi et al, 2021b;Wang et al, 2021). More recently, authors such as Alqaralleh and Canepa (2022), Kinateder et al (2021), Salisu et al (2021) and Syuhada et al (2021) point out the potential of gold and silver to serve as a safe haven during the COVID-19 pandemic.…”