Diversification benefits of precious metal markets - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2023

Diversification benefits of precious metal markets

Résumé

This paper investigates the diversification contribution of four main precious metals (i.e., gold, silver, platinum, and palladium) to a traditional portfolio of stocks, bonds, cash, and currencies, as well as the impact of the global financial crisis of 2008 on that contribution. We use a stochastic spanning methodology (Arvanitis et al. 2019) to test whether the traditional portfolio spans the portfolio augmented with all four precious metals in the G7 countries over three periods: before, during, and after the global financial crisis of 2008. In this study, we perform both in-sample and out-of-sample analyses of stochastic spanning tests. Our empirical results confirm the diversification benefits of precious metals for traditional assets in both spot and futures returns. These findings hold over three sub-periods of the global financial crisis of 2008. Notably, we find that precious metal futures significantly outperform precious metal spots in the aftermath of the 2008 crisis. Investors should therefore favor precious metal futures in post-crisis periods to improve their investment diversification.
Fichier principal
Vignette du fichier
Paper_Dinh_Goutte_Nguyen_Topaloglou.pdf ( 5.56 Mo ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-04057273, version 1 (04-04-2023)

Identifiants

  • HAL Id : halshs-04057273 , version 1

Citer

Theu Dinh, Stéphane Goutte, Duc Khuong Nguyen, Nikolas Topaloglou. Diversification benefits of precious metal markets: A stochastic spanning approach. 2023. ⟨halshs-04057273⟩
50 Consultations
51 Téléchargements
Dernière date de mise à jour le 05/05/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus