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AuthorWalid, Mensi
AuthorHammoudeh, Shawkat
AuthorRehman, Mobeen Ur
AuthorAl-Maadid, Alanoud Ali S.
AuthorHoon Kang, Sang
Available date2021-06-23T11:19:44Z
Publication Date2020-01-31
Publication NameThe North American Journal of Economics and Finance
Identifierhttp://dx.doi.org/10.1016/j.najef.2019.101086
CitationMensi, W., Hammoudeh, S., Rehman, M. U., Al-Maadid, A. A. S., & Kang, S. H. (2020). Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets. The North American Journal of Economics and Finance, 51, 101086.
ISSN10629408
URIhttps://www.sciencedirect.com/science/article/pii/S1062940819301615
URIhttp://hdl.handle.net/10576/20832
AbstractThis study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH model and the spillover index developed by Diebold and Yilmaz (2014, 2016) to examine the spillovers between those metal prices and the exchange rates and design portfolios and hedging strategies using different risk measures. The results show evidence of weak average conditional equicorrelations among the considered markets over time, excluding the turbulent 2008–2010 period. Furthermore, the precious metals (excluding platinum) and the currencies (with the exception of the Australian, Brazilian, Denmark, Euro, Mexican, Norwegian, New Zealand and Swedish currencies) are net receivers of shocks. Finally, the four precious metals provide strong risk and downside risk reductions, underscoring the usefulness of including precious metals in a traditional foreign exchange-dominated portfolio.
SponsorThe fourth author (Alanoud Ali S A Al-Maadid) acknowledges the financial support by Qatar University internal research grant [QUCP-CBE-2018-1]. The last author (Sang Hoon Kang) acknowledges the financial support by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5B8057488).
Languageen
PublisherElsevier
SubjectPrecious metals
Currency markets
Spillovers
Hedging
TitleDynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
TypeArticle
Volume Number51
dc.accessType Open Access


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