Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches

Marwa Talbi, Rihab Bedoui, Christian de Peretti and Lotfi Belkacem

Resources Policy, 2021, vol. 73, issue C

Abstract: This paper revisits the international evidence on hedge, safe haven, and diversification properties of precious metals—namelyW gold, silver, and platinum—for the G-7 stock markets. Therefore, this study proposes a multivariate vine copula-based GARCH model to assess the hedge and safe haven properties of precious metals and a Bivariate Value at Risk-based copula (BiVaR) measure to analyse the diversification potential of precious metals. Our empirical results suggest that; (1) gold is the strongest hedge and safe haven asset in almost all the G-7 stock markets, (2) silver and platinum results show that they may act as weak hedge assets, (3) silver bears the potential of a strong safe haven role only for Germany's and Italy's stock markets; however, platinum provides a weak safe haven role for most developed stock markets, (4) precious metals appear as interesting assets for diversifying a portfolio for G-7 stock markets investors. Overall, our findings provide noteworthy practical implication for investors.

Keywords: Precious metals; G-7 stock markets; Hedge; Safe haven; Diversification; Vine copula; BiVaR (search for similar items in EconPapers)
JEL-codes: C02 C58 G1 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001549

DOI: 10.1016/j.resourpol.2021.102140

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