Did Precious Metals Serve as Hedge and Safe-haven Alternatives to Equity During the COVID-19 Pandemic: New Insights Using a Copula-based Approach

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2024-05-28 DOI:10.1177/09726527241251515

Ameet Kumar Banerjee, Hemanta Kumar Pradhan

引用次数: 0

Abstract

We examine the hedging and safe-haven characteristics of gold, silver, platinum, and palladium and three major indices in the US market. The metal markets are known for their hedging characteristics during financial distress. This article sheds new insights using high-frequency data into precious metals’ hedging and safe-haven abilities under extreme market volatility conditions attributed to the COVID-19 crisis using the copula method. The results show that gold outperforms all other precious metals in hedging and as a safe haven under extreme stock market conditions, in both the pre-crisis and crisis periods, with silver as the next best alternative.JEL codes: G01, G11, G15, G19

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贵金属是否在 COVID-19 大流行期间充当了股票的对冲和避险替代品：使用基于 Copula 的方法的新见解

我们研究了黄金、白银、铂金和钯金以及美国市场三大指数的对冲和避险特性。金属市场因其在金融困境中的对冲特性而闻名。本文利用高频数据，采用 copula 方法，对 COVID-19 危机导致的极端市场波动条件下贵金属的对冲和避险能力提出了新的见解。结果表明，在危机前和危机期间，黄金在极端股市条件下的对冲和避险能力均优于所有其他贵金属，而白银则是次佳选择：G01, G11, G15, G19

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.