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

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  • Talbi, Marwa
  • Bedoui, Rihab
  • de Peretti, Christian
  • Belkacem, Lotfi

Abstract

This paper revisits the international evidence on hedge, safe haven, and diversification properties of precious metals—namelyW 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.

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  • Talbi, Marwa & Bedoui, Rihab & de Peretti, Christian & Belkacem, Lotfi, 2021. "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Resources Policy, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001549
    DOI: 10.1016/j.resourpol.2021.102140
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    More about this item

    Keywords

    Precious metals; G-7 stock markets; Hedge; Safe haven; Diversification; Vine copula; BiVaR;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets

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