Precious metals as hedging assets: Evidence from MENA countries
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Author(s)Rui DiasLink to ORCID Index: https://orcid.org/0000-0002-6138-3098
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Rosa GalvãoLink to ORCID Index: https://orcid.org/0000-0001-8282-6604
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Paulo AlexandreLink 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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61 Downloads
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Creative Commons Attribution 4.0 International License
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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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).2018.29
Investment Management and Financial Innovations Volume 15, 2018 Issue #3 pp. 351-369 Views: 1583 Downloads: 356 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).2018.07
Investment Management and Financial Innovations Volume 15, 2018 Issue #2 pp. 68-86 Views: 1391 Downloads: 576 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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Hype vs Reality on US and BRICS stock markets going their separate ways: post-crisis evidence
Bora Aktan
doi: http://dx.doi.org/10.21511/imfi.15(2).2018.18
Investment Management and Financial Innovations Volume 15, 2018 Issue #2 pp. 203-212 Views: 922 Downloads: 249 TO CITE АНОТАЦІЯThis paper examines the long-term relationship between BRICS and US stock markets by employing the cointegration technique and Granger causality to investigate the cointegration and causality direction in the capital markets. The impulse response function it is also employed to evaluate the persistence of the shocks. In the analysis, daily spot stock index returns are used from 2010 till 2017. The main findings of the cointegration analysis indicate that the US and BRICS stock markets are cointegrated and at least one cointegration vector exists among them. The Granger causality test shows that unidirectional causality runs from the US market towards the Russian, South African and Indian stock markets, while there is a bidirectional causal relation between US and Brazil stock markets.
