Quantile dependencies between precious and industrial metals futures and portfolio management

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo and Sang Hoon Kang

Resources Policy, 2021, vol. 73, issue C

Abstract: This paper examines the dependence structure between precious metals (gold, silver, platinum, and palladium) and industrial metals (aluminum, copper, zinc, tin, lead, and nickel) futures under different market statuses and time investment horizons. Using the quantile cross-spectral approach, we show evidence of a significant symmetric positive dependence between gold and silver in the short term regardless of the market conditions. Moreover, we find asymmetric dependence between gold and tin and between silver and platinum. Under a bearish-bullish market, we observe that nickel is negatively associated with both silver and palladium and positively associated with gold and platinum. The opposite holds in the bearish-bullish market in which nickel is negatively associated with both silver and palladium and positively associated with gold and platinum. A positive dependence between metals is observed in the medium term under extreme market conditions (bear and bull). In the long term, precious metals serve as a safe haven asset. A portfolio management analysis shows the importance of precious metals assets in terms of portfolio diversification benefits and hedging purposes, especially in the long term.

Keywords: Metals futures markets; Portfolio management; Spillovers; Quantiles (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002415

DOI: 10.1016/j.resourpol.2021.102230

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