Hedging oil price risk with gold during COVID-19 pandemic
This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before a...
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| Định dạng: | Journal Article |
| Ngôn ngữ: | English |
| Thông tin xuất bản: |
Elsevier Ltd.
2020
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| Truy cập trực tuyến: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85095822838&doi=10.1016%2fj.resourpol.2020.101897&partnerID=40&md5=40c817dff9c61bfc88326496561ecda8 http://digital.lib.ueh.edu.vn/handle/UEH/60912 https://doi.org/10.1016/j.resourpol.2020.101897 |
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oai:localhost:UEH-609122021-08-18T06:50:53Z Hedging oil price risk with gold during COVID-19 pandemic Salisu, A.A. Vo, X.V. Lawal, A. Gold Hedging Oil Safe haven VARMA GARCH This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before and during the pandemic. Our empirical results find gold as a significant safe haven against oil price risks. The optimal portfolio and hedging analyses conducted also validate the hedging effectiveness of gold against risk associated with oil. The robustness of our results is further confirmed using three other prominent precious metals - silver, platinum, and palladium. In sum, our results are useful for investors and portfolio managers that are desirous of using gold and other precious metals as portfolio rebalancing tools to minimize or circumvent risks associated with volatile oil returns. 2020-12-09T07:01:03Z 2020-12-09T07:01:03Z 2021 Journal Article 0301-4207 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85095822838&doi=10.1016%2fj.resourpol.2020.101897&partnerID=40&md5=40c817dff9c61bfc88326496561ecda8 http://digital.lib.ueh.edu.vn/handle/UEH/60912 https://doi.org/10.1016/j.resourpol.2020.101897 en Resources Policy Vol. 70 none Portable Document Format (PDF) Elsevier Ltd. |
| institution |
Đại học Kinh tế Thành phố Hồ Chí Minh |
| collection |
DSpaceUEH |
| language |
English |
| topic |
Gold Hedging Oil Safe haven VARMA GARCH |
| spellingShingle |
Gold Hedging Oil Safe haven VARMA GARCH Salisu, A.A. Hedging oil price risk with gold during COVID-19 pandemic |
| description |
This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before and during the pandemic. Our empirical results find gold as a significant safe haven against oil price risks. The optimal portfolio and hedging analyses conducted also validate the hedging effectiveness of gold against risk associated with oil. The robustness of our results is further confirmed using three other prominent precious metals - silver, platinum, and palladium. In sum, our results are useful for investors and portfolio managers that are desirous of using gold and other precious metals as portfolio rebalancing tools to minimize or circumvent risks associated with volatile oil returns. |
| author2 |
Vo, X.V. |
| author_facet |
Vo, X.V. Salisu, A.A. |
| format |
Journal Article |
| author |
Salisu, A.A. |
| author_sort |
Salisu, A.A. |
| title |
Hedging oil price risk with gold during COVID-19 pandemic |
| title_short |
Hedging oil price risk with gold during COVID-19 pandemic |
| title_full |
Hedging oil price risk with gold during COVID-19 pandemic |
| title_fullStr |
Hedging oil price risk with gold during COVID-19 pandemic |
| title_full_unstemmed |
Hedging oil price risk with gold during COVID-19 pandemic |
| title_sort |
hedging oil price risk with gold during covid-19 pandemic |
| publisher |
Elsevier Ltd. |
| publishDate |
2020 |
| url |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85095822838&doi=10.1016%2fj.resourpol.2020.101897&partnerID=40&md5=40c817dff9c61bfc88326496561ecda8 http://digital.lib.ueh.edu.vn/handle/UEH/60912 https://doi.org/10.1016/j.resourpol.2020.101897 |
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AT salisuaa hedgingoilpriceriskwithgoldduringcovid19pandemic |
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