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
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Marwa Talbi: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, LAREMFIQ - Laboratory Research for Economy, Management and Quantitative Finance - Institut des Hautes Etudes Commerciales (Université de Sousse), UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Rihab Bedoui: IHEC Sousse - IHEC
Christian de Peretti: ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Lotfi Belkacem: IHEC Sousse - IHEC, Université de Sousse

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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. 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)
Date: 2021-10
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Published in Resources Policy, 2021, 73, pp.102140. ⟨10.1016/j.resourpol.2021.102140⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04875497

DOI: 10.1016/j.resourpol.2021.102140

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