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Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches

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)

  • Christian de Peretti

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, LEO - Laboratoire d'Économie d'Orleans [FRE2014] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique)

  • Lotfi Belkacem

    (IHEC Sousse - IHEC)

Abstract

This paper revisits the international evidence on hedge, safe haven and diversification properties of precious metals, namely; gold, silver and platinum for the G-7 stock markets whereas most of the studies have focused only on gold properties. Conversely to the studies in the literature that use only bivariate copula, we use the multivariate vine copula based GARCH model. We then find that precious metals have valuable hedge and safe haven roles with different degrees. Our findings show that gold is the strongest hedge and safe haven asset, in almost all the G-7 stock markets. For silver and platinum, results show that they may act as weak hedge assets. Also, silver bear the potential of a strong safe haven role only for Germany and Italy stock markets. However, platinum provides weak safe haven role for most developed stock markets. Using the Bivariate VaR risk measure, we suggest that precious metals may offer diversification benefits in the G-7 stock markets.

Suggested Citation

  • Marwa Talbi & Rihab Bedoui & Christian de Peretti & Lotfi Belkacem, 2020. "Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches," Working Papers hal-01664146, HAL.
    • Handle: RePEc:hal:wpaper:hal-01664146
    Note: View the original document on HAL open archive server: https://hal.science/hal-01664146
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    References listed on IDEAS

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    Cited by:

    1. Izabela Pruchnicka-Grabias, 2021. "Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 716-728.

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    More about this item

    Keywords

    Bivariate VaR JEL classification: C02; BiVaR; stock markets; Precious metals; hedge; vine copula; safe haven; G-7 stock markets; diversification; C58; G1;
    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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