Downside risk, portfolio diversification and the financial crisis in the euro-zone

Sarafrazi, Soodabeh; Hammoudeh, Shawkat; AraújoSantos, Paulo

doi:10.1016/j.intfin.2014.06.008

Cited by 18 publications

(7 citation statements)

References 37 publications

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“…The formal methodology proposed by Baur and Lucey (2010) is used in Lucey and Li (2015) and applied to silver, platinum and palladium. In line with Sarafrazi et al (2014), Lucey and Li (2015) find that on average, silver is a weaker equity hedge that gold, and that platinum and palladium have a much weaker relationship with equity prices than gold and silver. An empir-ical answer to the nature of the relationship between white precious metals and equity prices still needs to be derived.…”

Section: Frequency Dynamics Of Connectednessmentioning

confidence: 55%

“…The benefits of platinum and palladium are questionable when added to European portfolios. Sarafrazi et al (2014) indeed argue that gold and silver seem to be the only precious metals that offer diversification benefits against a variety of European stock and bond portfolios. Recently, Lucey and Li (2015) took the discussion a step further and looked at the safe haven implications of white precious metals against the S&P 500 and US 10 year bonds.…”

Section: Literature Reviewmentioning

confidence: 99%

“…More formally, Baur and Lucey (2010) and Baur and McDermott (2010) show that indeed, a long-run relationship between gold and equity prices can be observed on the long-run. Sarafrazi et al (2014) take the three studied white precious metals into account and find that silver has diversification benefits for European stock and bond portfolios. Morales and Andreosso-O'Callaghan (2014) take an international approach and indicate an insignificant relationship between silver and the Dow Jones and a significant relationship between silver and both the FTSE100 and the Nikkei225.…”

Section: Frequency Dynamics Of Connectednessmentioning

confidence: 99%

See 2 more Smart Citations

Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

Lau

Vigne

Wang

et al. 2017

International Review of Financial Analysis

108

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This paper investigates the relationship between white precious metals and gold, oil and global equity by means of spillovers and volatility transmission. Relying on the recently introduced ETFs, this study is the first to analyse return spillovers derived from an E-GARCH model and to take into account frequency dynamics to understand changes in connectedness across periods of time. Results uncover numerous channels of return transmission across the selected ETF markets over the last 10 years and highlight the role of gold ETFs as the most influential market in the sample. Furthermore, our work provides insights into the characteristics of white precious metal markets using a hidden semi-Markov model. Finally, we argue that even though silver and platinum have gained more importance as investment assets over the last few years, palladium still very much remains an industrial metal.

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Section: Frequency Dynamics Of Connectednessmentioning

confidence: 55%

Section: Literature Reviewmentioning

confidence: 99%

Section: Frequency Dynamics Of Connectednessmentioning

confidence: 99%

See 1 more Smart Citation

Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

Lau

Vigne

Wang

et al. 2017

International Review of Financial Analysis

108

View full text Add to dashboard Cite

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“…Sarafrazi et al (2014) focus on daily downside risk of euro-zone national equity and sovereign bond markets by classifying the countries in two distinct groups: the PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core(Germany, France, Austria, The Netherlands and Finland). The period observed ranges from March 1999 to November 2012.…”

mentioning

confidence: 99%

The financial economics of white precious metals — A survey

Vigne

Lucey

O’Connor

et al. 2017

International Review of Financial Analysis

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This article provides a review of the academic literature on the financial economics of silver, platinum and palladium. The survey covers the findings on a wide variety of topics relation to the White Precious Metals including Market Efficiency, Forecastability, Behavioral Findings, Diversification Benefits, Volatility Drivers, Macroeconomic Determinants, and their relationships with other assets.

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“…Gold as a possible hedging asset has also been examined in relation to currency portfolios. Sarafrazi et al (2014) concern themselves with the European portfolio allocation issue. In a paper similar in spirit to this, Estrada (2016) examines optimal asset allocation of a diversified stock-bond 60-40 portfolio when gold is introduced (as well as other alternative assets).…”

Section: Previous Research On Goldmentioning

confidence: 99%

What Is the Optimal Weight for Gold in a Portfolio?

2018

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We show that the statistical properties of gold are negatively correlated with equities and that including gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual tool that associates a performance metric with a range of possible asset weighting schemes-a Sharpe ratio response surface. This very surface shows that a target performance metric can be achieved with a large number of different allocations. We further argue that the rebalancing approach based on the surface closest to the benchmark surface under the Hausdorrf distance metric should be selected. Using a data sample between 1990 and 2018, we find that annual rebalancing with a 44-week lookback period achieves the minimum distance from the benchmark surface.

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Downside risk, portfolio diversification and the financial crisis in the euro-zone

Cited by 18 publications

References 37 publications

Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity

The financial economics of white precious metals — A survey

What Is the Optimal Weight for Gold in a Portfolio?

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