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Frequency interdependence and portfolio management between gold, oil and sustainability stock markets

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  • Nekhili, Ramzi
  • Ziadat, Salem Adel
  • Mensi, Walid

Abstract

This paper examines the dynamic correlation relationship between Dow Jones sustainability indices (DJSI) with oil and gold in the time and frequency domain. Our empirical analysis discloses multiple imperative findings. First, the period of high dependence between oil and these DJSI assets seems to be restricted to only at higher frequency (128–256 days). As such, DJSI Europe, US, Asia-pacific, and Korea show the strongest dependence with oil in the long run. However, this inter-relationship is only visible from 2018 onwards. Second, across the dependency spectrum and at multiple frequencies, the link between DJSI indices and gold is minimal. Third, when comparing a benchmark portfolio with a blended portfolio composed of a suitability index with gold/oil, in consistency with the hedging ratios results, the utility gain is remarkably better in the sustainability/gold pairing. These findings indicate that the safe haven status of gold for investors in conventional stocks can be extended to investors in sustainability stocks.

Suggested Citation

  • Nekhili, Ramzi & Ziadat, Salem Adel & Mensi, Walid, 2023. "Frequency interdependence and portfolio management between gold, oil and sustainability stock markets," International Economics, Elsevier, vol. 176(C).
    • Handle: RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000732
    DOI: 10.1016/j.inteco.2023.100461
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    More about this item

    Keywords

    Sustainability stock markets; Oil; Gold; Frequency spillovers;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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