 Frequency interdependence and portfolio management between gold, oil and sustainability stock marketsRamzi Nekhili, Salem Adel Ziadat and Walid Mensi International Economics, 2023, vol. 176, issue C Abstract: This paper examines the dynamic correlation relationship between Dow Jones sustainability indices (DJSI) with oil and gold in the time and frequency domain. Our empirical analysis discloses multiple imperative findings. First, the period of high dependence between oil and these DJSI assets seems to be restricted to only at higher frequency (128–256 days). As such, DJSI Europe, US, Asia-pacific, and Korea show the strongest dependence with oil in the long run. However, this inter-relationship is only visible from 2018 onwards. Second, across the dependency spectrum and at multiple frequencies, the link between DJSI indices and gold is minimal. Third, when comparing a benchmark portfolio with a blended portfolio composed of a suitability index with gold/oil, in consistency with the hedging ratios results, the utility gain is remarkably better in the sustainability/gold pairing. These findings indicate that the safe haven status of gold for investors in conventional stocks can be extended to investors in sustainability stocks. Keywords: Sustainability stock markets; Oil; Gold; Frequency spillovers (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:176:y:2023:i:c:s2110701723000732 DOI: 10.1016/j.inteco.2023.100461 Access Statistics for this article International Economics is currently edited by Valerie Mignon and Marcelo Olarreaga More articles in International Economics from Elsevier |
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