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The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach

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  • Alqaralleh, Huthaifa
  • Canepa, Alessandra

Abstract

In this study the relation between stock markets and precious metals during first wave of Covid-19 pandemic are investigated. We use a wavelet-based quantile procedure to investigate correlation between major stock markets of emerging countries (BRIC) and the United States. Our procedure reveals that precious metals offer market diversification opportunities during the period under consideration. In particular, it is found the gold, silver, platinum, and palladium, all serve as safe-haven assets during periods of market distress across short, medium and long investment horizons.

Suggested Citation

  • Alqaralleh, Huthaifa & Canepa, Alessandra, 2022. "The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach," Resources Policy, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005390
    DOI: 10.1016/j.resourpol.2021.102532
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    Keywords

    Precious metals; Stock markets; Quantile correlation; Wavelet analysis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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