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Do precious metals act as hedges and safe havens against G-7 stock markets?: A vine copula approach

Author

Listed:
  • Marwa Talbi

    () (IHEC Sousse - IHEC, SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Rihab Bedoui

    (IHEC Sousse - IHEC)

  • Lotfi Belkacem

    (IHEC Sousse - IHEC)

  • Christian De Peretti

    () (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

This paper investigates the role of precious metals (Gold, Silver and Platinum) as hedge and/or safe haven assets against the G-7 stock markets that represents the most developed economies, by characterizing the multivariate dependence structure using vine copulas, mainly the C-vine and the D-vine, to capture more flexibly the dependencies between the three precious metals and each stock market index. Therefore, by the information about the dependence on average and the dependence in extreme market conditions provided by the vine copulas, we find that all precious metals under study serve as hedge and safe haven assets in almost all countries with different degrees. These results are crucial for both investors and risk managers to understand portfolio diversification and risk reduction by including these precious metals in their investment portfolios.

Suggested Citation

  • Marwa Talbi & Rihab Bedoui & Lotfi Belkacem & Christian De Peretti, 2018. "Do precious metals act as hedges and safe havens against G-7 stock markets?: A vine copula approach," Working Papers hal-01664146, HAL.
  • Handle: RePEc:hal:wpaper:hal-01664146
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01664146v2
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    hedge; safe haven; vine copula; Precious metals; stock markets; stock markets; safe haven; G1 2;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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