Did Precious Metals Serve as Hedge and Safe-Haven Alternatives to Equity during the COVID-19 Pandemic: New Insights Using a Copula-Based Approach

A. Banerjee, H. Pradhan
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引用次数: 5

Abstract

We examine the hedging and safe-haven characteristics between four major precious metals (gold, silver, platinum, and palladium) and three major US stock market indices. The metal markets are known for hedging and safety characteristics during financial distress. The paper sheds new insights into the hedging and safe-haven ability of the precious metals under extreme stock market volatility conditions caused by the COVID-19 by drawing empirical estimates using two different copula approaches. The results show that gold outperforms all other precious metals such as silver, platinum, and palladium in hedging abilities under extreme stock market conditions. Likewise, gold remains a safe-haven asset both in calm and turbulent periods, and silver possibly remains the next best alternative, albeit as a weak safe-haven asset.
在COVID-19大流行期间,贵金属是否可以作为股票的对冲和避险替代品:使用基于copula的方法的新见解
我们研究了四种主要贵金属(黄金、白银、铂和钯)和三大美国股市指数之间的对冲和避险特征。在金融危机期间,金属市场以对冲和安全特性而闻名。本文通过使用两种不同的copula方法进行实证估计,对COVID-19导致的极端股市波动条件下贵金属的对冲和避险能力进行了新的见解。结果表明,在极端的股票市场条件下,黄金在对冲能力方面优于所有其他贵金属,如银、铂和钯。同样,无论是在平静时期还是动荡时期,黄金仍是一种避险资产,而白银可能仍是次佳选择,尽管其避险能力较弱。
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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