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Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches

Author

Listed:
  • Marwa Talbi

    (LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, LAREMFIQ - Laboratory Research for Economy, Management and Quantitative Finance - Institut des Hautes Etudes Commerciales (Université de Sousse), UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Rihab Bedoui

    (IHEC Sousse - IHEC)

  • Christian de Peretti

    (ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Lotfi Belkacem

    (IHEC Sousse - IHEC, Université de Sousse)

Abstract

This paper revisits the international evidence on hedge, safe haven, and diversification properties of precious metals—namely gold, silver, and platinum—for the G-7 stock markets. Therefore, this study proposes a multivariate vine copula-based GARCH model to assess the hedge and safe haven properties of precious metals and a Bivariate Value at Risk-based copula (BiVaR) measure to analyse the diversification potential of precious metals. Our empirical results suggest that; (1) gold is the strongest hedge and safe haven asset in almost all the G-7 stock markets, (2) silver and platinum results show that they may act as weak hedge assets, (3) silver bears the potential of a strong safe haven role only for Germany's and Italy's stock markets; however, platinum provides a weak safe haven role for most developed stock markets, (4) precious metals appear as interesting assets for diversifying a portfolio for G-7 stock markets investors. Overall, our findings provide noteworthy practical implication for investors.

Suggested Citation

  • Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2021. "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Post-Print hal-04875497, HAL.
    • Handle: RePEc:hal:journl:hal-04875497
    DOI: 10.1016/j.resourpol.2021.102140
    as

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