Precious metals as hedging assets: Evidence from MENA countries
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Received December 24, 2023;Accepted January 23, 2024;Published February 5, 2024
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Author(s)Link to ORCID Index: https://orcid.org/0000-0002-6138-3098Link to ORCID Index: https://orcid.org/0000-0001-8282-6604Link to ORCID Index: https://orcid.org/0000-0003-1781-7036
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DOIhttp://dx.doi.org/10.21511/imfi.21(1).2024.13
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Article InfoVolume 21 2024, Issue #1, pp. 157-167
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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.
- Keywords
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JEL Classification (Paper profile tab)G10, G11, C32
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References35
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Tables6
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Figures3
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- Figure 1. Evolution, in levels, of the fluctuations of the markets analyzed from January 1, 2018 to November 23, 2023
- Figure 2. VAR structural residuals using Cholesky (d.f. adjusted) factors, for the Tranquil subperiod
- Figure 3. VAR structural residuals using Cholesky (d.f. adjusted) factors, for the stress subperiod
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- Table 1. Summary statistics for the markets studied from January 1, 2018 to November 23, 2023
- Table 2. Summary statistics for the markets analyzed from January 1, 2018 to November 23, 2023
- Table 3. Summary table of the unit root tests for the markets analyzed from January 1, 2018 to November 23, 2023
- Table 4. Granger causality/Block Exogeneity Wald tests, Tranquil subperiod
- Table 5. Granger causality/Block Exogeneity Wald tests, stress subperiod
- Table 6. Summary table of the Granger causality/Block Exogeneity Wald tests for the tranquil and stress subperiods
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Conceptualization
Rui Dias, Rosa Galvão, Paulo Alexandre
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Data curation
Rui Dias, Rosa Galvão, Paulo Alexandre
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Formal Analysis
Rui Dias, Rosa Galvão, Paulo Alexandre
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Funding acquisition
Rui Dias, Rosa Galvão, Paulo Alexandre
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Investigation
Rui Dias, Rosa Galvão, Paulo Alexandre
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Methodology
Rui Dias, Rosa Galvão, Paulo Alexandre
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Validation
Rui Dias, Rosa Galvão, Paulo Alexandre
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Writing – original draft
Rui Dias, Rosa Galvão, Paulo Alexandre
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Writing – review & editing
Rui Dias, Rosa Galvão, Paulo Alexandre
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Resources
Rui Dias, Rosa Galvão, Paulo Alexandre
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Conceptualization
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Hedging and non-hedging trading strategies on commodities using the d-Backtest PS method. Optimized trading system hedging
Dimitrios Th. Vezeris , Themistoklis S. Kyrgos , Christos J. Schinas doi: http://dx.doi.org/10.21511/imfi.15(3).2018.29Investment Management and Financial Innovations Volume 15, 2018 Issue #3 pp. 351-369 Views: 1605 Downloads: 362 TO CITE АНОТАЦІЯModern trading systems are mechanic, run automatically on computers inside trading platforms and decide their position against the market through optimized parameters and algorithmic strategies. These systems now, in most cases, comprise high frequency traders, especially in the Forex market.
In this research, a piece of software of an automatic high frequency trading system was developed, based on the technical indicator PIVOT (price level breakthrough). The system made transactions on hourly closing prices with weekly parameters optimization period, using the d-Backtest PS method.
Through the search and checking of the results, two findings for optimization of trading strategy were found. These findings with the order they were examined and are presented in this paper are as follows: (1) the simultaneous use of “long and short” positions, with different parameters in a hedging account, acts as a hedging strategy, minimizing losses, in relation to a “long or short” in a non-hedging account for the same time period and (2) there is weak correlation of past backtesting periods between the same systems, if they are configured for “long and short” trades, or for just “long” or for just “short”. -
Good coups, bad coups: evidence from Thailand’s financial markets
Sutsarun Lumjiak , Nguyen Thi Thieu Quang , Christopher Gan , Sirimon Treepongkaruna doi: http://dx.doi.org/10.21511/imfi.15(2).2018.07Investment Management and Financial Innovations Volume 15, 2018 Issue #2 pp. 68-86 Views: 1421 Downloads: 580 TO CITE АНОТАЦІЯThis study investigates the short-run and long-run impact of coups on Thailand’s financial markets. Using daily data from the stock and foreign exchange markets during the period 2005–2017, the study shows (1) both coups in 2006 and in 2014 exert short-run impact on Thailand’s stock and foreign exchange markets; (2) however, the direction and magnitude of impact are different and opposite in the two coups; and (3) in the long run, the coups exhibit minimal impact on the currency market, but induce better market performance (positive return and decrease in the return volatility) despite an increase in liquidity risk of the stock market. Against common beliefs about negative consequences of the coup d’états, this study suggests that the uncertainty surrounding coups can bring good investment opportunities for investors to earn abnormal profits. Moreover, in the long term, the coup can drive the country to better stability and development.
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The impact of ESG inclusion on price, liquidity and financial performance of Indian stocks: Evidence from stocks listed in BSE and NSE ESG indices
Suresha B. , Srinidhi V. R. , Dippi Verma , Manu K. S. , Krishna T. A. doi: http://dx.doi.org/10.21511/imfi.19(4).2022.04Investment Management and Financial Innovations Volume 19, 2022 Issue #4 pp. 40-50 Views: 990 Downloads: 271 TO CITE АНОТАЦІЯIn recent years, investors have perceived that Environmental, Social, and Governance (ESG) practices significantly increase the value of companies’ stocks. This study investigates the impact of ESG inclusion on the price, liquidity and financial performance of stocks listed in the Indian ESG indices. Two major Indian benchmark ESG Indices, the BSE100 ESG and Nifty 100 ESG, were considered for the study. A total sample of 64 firms from the BSE100 ESG index and 86 firms from the Nifty100 ESG index were selected. The market model of the event study methodology was employed to measure AAR and CAAR and to demonstrate the effect before and after the inclusion of the stocks in the ESG indices. The empirical results show a highly significant negative AAR on the announcement day, i.e., on (day = 0) for BSE100 ESG index stocks and an insignificant positive AAR for Nifty100 ESG index stocks. In addition, the results also document a significant negative CAAR for BSE 100 ESG stocks and a positive insignificant CAAR for Nifty100 ESG stocks. Moreover, the liquidity test results revealed a considerable liquidity enhancement in the stocks posts their inclusion in the BSE100 ESG. At the same time, there were no significant changes in the liquidity ratio of stocks after being included in the Nifty100 ESG index. This study concludes that there will be a substantial improvement in the companies’ financial performance as indicated by EPS and market capitalization after their inclusion in the ESG indices.