Quantile dependence and portfolio management between oil, gold, silver, and MENA stock markets
SSRN Electronic Journal(2024)
摘要
The impacts of the global financial crisis (GFC) and the COVID-19 pandemic crisis can be far-reaching, shedding light on the dynamics of dependence between commodity markets (e.g., gold, silver, and Brent) and stock markets. This paper employs a novel quantile-on-quantile regression and the causality-in-quantiles approaches to elicit significant asymmetric dependence between commodity and the stock markets across MENA countries. Our results show that the marginal impact of stock prices on commodity markets varies; the effects are generally negative across quantiles, with all stock markets exerting a greater impact on commodity prices at lower quantiles. Exogenous shocks (e.g., GFC) appear to have imparted greater negative impact on both the dynamic nature of interdependence and the direction of causality, demonstrating investors’ adaptability to uncertainty. For several MENA countries, the hedging ratio shows strong hedging effectiveness for silver and even greater for Brent. The gold appears to lose its shine over hedging effectiveness.
更多查看译文
关键词
Gold,Silver,MENA stock markets: Quantile-on-Quantile,COVID-19,Hedging effectiveness
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要