Precious metals as hedging assets: Evidence from MENA countries
In the context of the global pandemic of 2020 and the Russian invasion of Ukraine in 2022, a newfound interest is emerging in understanding the interconnections between the Dow Jones (United States), Amman SE General (Jordan), BLSI (Lebanon), EGX 30 (Egypt), ISRAEL TA 125 (Israel), MASI (Morocco), a...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2024-02-01
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| Series: | Investment Management & Financial Innovations |
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| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19605/IMFI_2024_01_Rui.pdf |
| _version_ | 1797324147267731456 |
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| author | Rui Dias Rosa Galvão Paulo Alexandre |
| author_facet | Rui Dias Rosa Galvão Paulo Alexandre |
| author_sort | Rui Dias |
| collection | DOAJ |
| description | In the context of the global pandemic of 2020 and the Russian invasion of Ukraine in 2022, a newfound interest is emerging in understanding the interconnections between the Dow Jones (United States), Amman SE General (Jordan), BLSI (Lebanon), EGX 30 (Egypt), ISRAEL TA 125 (Israel), MASI (Morocco), and MOEX (Russia) indices and the precious metals markets Gold Bullion LBM, Silver, Handy & Harman, London Platinum, from January 1, 2018 to November 23, 2023. The study aimed to determine whether precious metals such as Gold, Silver, and Platinum can be considered hedging assets to the stock markets of the Middle East and North Africa (MENA) countries, i.e., whether investors operating in these regional markets can rebalance their portfolios with these precious metals. The structural vector autoregressive (SVAR) methodology allowed assessing the influence of the analyzed markets on each other regarding price formation. The results show that the markets interacted very significantly during the stress period. Platinum was the market that most influenced its peers (1 to 8 comovements), the MOEX, 1 to 7, MASI, 2 to 6, the Dow Jones went from 4 to 7 comovements, the Amman SE General and EGX 30 markets went from 1 to 4, the Israeli market (ISRAEL TA 125) and Silver went from 2 to 4 comovements, and finally the Gold Bullion LBM from 3 to 4. The study’s conclusions contain important information for investors, policymakers, and other participants in the financial energy markets.
Acknowledgments The authors are grateful for the comments and suggestions from reviewers that helped improve the quality of the manuscript. Rui Dias is pleased to acknowledge the financial support from Instituto Superior de Gestão (ISG) [ISG - Business & Economics School], CIGEST. |
| first_indexed | 2024-03-08T05:45:59Z |
| format | Article |
| id | doaj.art-aea6a7be6531417cb55eb9c2fc8c11cd |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-03-08T05:45:59Z |
| publishDate | 2024-02-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-aea6a7be6531417cb55eb9c2fc8c11cd2024-02-05T12:33:06ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582024-02-0121115716710.21511/imfi.21(1).2024.1319605Precious metals as hedging assets: Evidence from MENA countriesRui Dias0https://orcid.org/0000-0002-6138-3098Rosa Galvão1https://orcid.org/0000-0001-8282-6604Paulo Alexandre2https://orcid.org/0000-0003-1781-7036Post-Ph.D. in Econophysics and Ph.D. in Finance, Associate Professor, Instituto Superior de Gestão (ISG) [ISG - Business & Economics School], CIGEST, Lisbon, PortugalFinance Specialist Title and Master’s degree in accounting and finance, Professor, School of Business and Administration, Instituto Politécnico de Setúbal [Polytechnic Institute of Setúbal], PortugalFinance Specialist Title and Master’s Degree in Industrial Strategy and Management, Professor, School of Business and Administration, Instituto Politécnico de Setúbal [Polytechnic Institute of Setúbal], PortugalIn the context of the global pandemic of 2020 and the Russian invasion of Ukraine in 2022, a newfound interest is emerging in understanding the interconnections between the Dow Jones (United States), Amman SE General (Jordan), BLSI (Lebanon), EGX 30 (Egypt), ISRAEL TA 125 (Israel), MASI (Morocco), and MOEX (Russia) indices and the precious metals markets Gold Bullion LBM, Silver, Handy & Harman, London Platinum, from January 1, 2018 to November 23, 2023. The study aimed to determine whether precious metals such as Gold, Silver, and Platinum can be considered hedging assets to the stock markets of the Middle East and North Africa (MENA) countries, i.e., whether investors operating in these regional markets can rebalance their portfolios with these precious metals. The structural vector autoregressive (SVAR) methodology allowed assessing the influence of the analyzed markets on each other regarding price formation. The results show that the markets interacted very significantly during the stress period. Platinum was the market that most influenced its peers (1 to 8 comovements), the MOEX, 1 to 7, MASI, 2 to 6, the Dow Jones went from 4 to 7 comovements, the Amman SE General and EGX 30 markets went from 1 to 4, the Israeli market (ISRAEL TA 125) and Silver went from 2 to 4 comovements, and finally the Gold Bullion LBM from 3 to 4. The study’s conclusions contain important information for investors, policymakers, and other participants in the financial energy markets. Acknowledgments The authors are grateful for the comments and suggestions from reviewers that helped improve the quality of the manuscript. Rui Dias is pleased to acknowledge the financial support from Instituto Superior de Gestão (ISG) [ISG - Business & Economics School], CIGEST.https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19605/IMFI_2024_01_Rui.pdfconnectednessgoldhedgeplatinumportfolio rebalancingsilver |
| spellingShingle | Rui Dias Rosa Galvão Paulo Alexandre Precious metals as hedging assets: Evidence from MENA countries Investment Management & Financial Innovations connectedness gold hedge platinum portfolio rebalancing silver |
| title | Precious metals as hedging assets: Evidence from MENA countries |
| title_full | Precious metals as hedging assets: Evidence from MENA countries |
| title_fullStr | Precious metals as hedging assets: Evidence from MENA countries |
| title_full_unstemmed | Precious metals as hedging assets: Evidence from MENA countries |
| title_short | Precious metals as hedging assets: Evidence from MENA countries |
| title_sort | precious metals as hedging assets evidence from mena countries |
| topic | connectedness gold hedge platinum portfolio rebalancing silver |
| url | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/19605/IMFI_2024_01_Rui.pdf |
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