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Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing

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  • Lei, Heng
  • Xue, Minggao
  • Liu, Huiling
  • Ye, Jing

Abstract

This study investigates the safe haven role of precious metals for the global Environmental, Social, and Governance (ESG) stocks, based on the cross-quantilogram analysis and the quantile time–frequency connectedness framework. We show that palladium can serve as a short-term safe haven for the North America ESG market, Europe ESG markets, and Asia-Pacific developed ESG markets, whereas gold acts as a weak safe haven most of the time. The safe haven role is robust during the COVID-19 period. We also explore the risk spillover patterns between precious metal and ESG markets and find that gold and palladium remain the net risk receivers even under extreme negative market conditions. We finally provide implications for the safe haven portfolio allocated between precious metals and ESG stocks, confirming the usefulness of gold in gaining diversification benefits and reducing downside risks. Our findings contribute to the practice of socially responsible investing in terms of portfolio and risk management.

Suggested Citation

  • Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    • Handle: RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134
    DOI: 10.1016/j.resourpol.2022.103170
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    Keywords

    Safe haven; Precious metals; ESG; Sustainable investing; Cross-quantilogram; Quantile time–frequency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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