Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Dias, Rui; Carvalho, Luísa Cagica

doi:10.5902/1983465961307

Cited by 14 publications

(8 citation statements)

References 27 publications

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“…They conclude that silver is not a good choice for investments like gold. Dias and Carvalho (2020) reveal that silver cannot act as a haven for portfolio diversification in stock markets in Latin America.…”

Section: Literature Reviewmentioning

confidence: 99%

Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective

Pruchnicka-Grabias¹

2021

ERSJ

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Purpose:The study aims to verify whether silver can help reduce the risk of the equity portfolio for a Polish investor without diminishing its return. What are optimal shares of silver and equity in such a portfolio, and does it also improve skewness and kurtosis of the portfolio return distribution compared with a stock portfolio? Do optimal shares change depend on the situation on the silver market? Design/Methodology/Approach: The author calculates descriptive statistics for silver and equity to decide if the former can diversify assets for the latter. As equity, the WIG20 Total Return index is used. Equity-silver portfolio optimization is conducted in the light of the Markowitz theory. The analysis is done for the period between January 2005 and April 2021. Findings: The research shows that including silver in an equity portfolio lets both decrease its risk and increase the return during the silver bull market and an extended period, which take part in a growing silver market trend. Conclusions do not change when the short sale is allowed. It is indicated that during silver bear markets 100% equity portfolio is not an efficient portfolio in the light of the Harry Markowitz theory. Simultaneously, the author suggests that although the portfolio diversification conducted in the study results in diminishing risk understood as variance or standard deviation, the results for skewness and kurtosis of created optimum portfolios are various. Practical Implications: The research may be interesting for institutional and individual Polish investors seeking different diversifying instruments in various market conditions. Originality/Value: The research contributes to the existing international literature by confirming that silver can be a diversifying asset and indicates its optimal shares in the silverequity portfolio in different market conditions for a Polish investor endangered with USD/PLN currency rate risk.

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Section: Literature Reviewmentioning

confidence: 99%

Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective

Pruchnicka-Grabias¹

2021

ERSJ

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“…We have seen a strong correlation between past and future data series, which makes it possible for the investor to have anomalous profitability when selecting an appropriate trading strategy. The possibility of investors being able to pre-dict future price changes may lead to imbalances in financial markets, making it difficult to implement efficient portfolio diversification strategies (Alexandre, Dias, and Heliodoro, 2020;Alexandre, Heliodoro, and Dias, 2019;Dias, R. and Pereira, 2020;Dias and Carvalho, 2020;Dias, da Silva, and Dionysus, 2019;Dias, Heliodoro, and Alexandre, 2019, 2020b, 2020aDias, Heliodoro, Alexandre, Santos, and Farinha, 2021;Vasco, 2020a, 2020b;Dias, Heliodoro, Alexandre, et al, 2020a, 2020aDias, Heliodoro, Teixeira, and Godinho, 2020;Dias, Pardal, Teixeira, and Machová, 2020;Dias, Teixeira, Machova, et al, 2020;Heliodoro, Dias, Alexandre, and Vasco, 2020;Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020;Santos and Dias, 2020).…”

Section: Introductionmentioning

confidence: 99%

Has the Global Pandemic of 2020 Led to Persistence in the Share Prices of Large Global Companies?

Santos¹,

Dias²,

Vasco³

et al. 2021

International Scientific Conference EMAN – Economics and Management: How to Cope With Disrupted Times

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This paper aims to analyze the predictability of the stocks of Apple, Microsoft Amazon.com, Tesla, Facebook, Samsung, Electronics, Johnson & Johnson, Walmart, in the period from October 1, 2019 to January 11, 2021. To carry out such an analysis, it is intended to answer two research questions, namely: (i) is there predictability in the stock prices of the companies under analysis? (ii) Can investors diversify risk by incorporating these companies’ shares into their portfolios? The results of the Exponents Detrended Fluctuation Analysis (DFA) show that Apple (0.51) Microsoft (0.49), Amazon.com (0.53), Samsung Electronics (0.53), Johnson & Johnson (0.53) do not have long memories in their time series, that is, investors cannot obtain abnormal profitability without incurring additional risk. Walmart (0.41) has anti-persistence, while Tesla (0.60), Facebook (0.55) indicate some predictability, meaning investors adjusting their trading strategies to the necessary missteps may have some above-average profitability, which partly rejects the first question of the research. To answer the second research question, we estimated the Detrended cross-correlation coefficient (pDCCA) model, which indicates 17 mean correlation coefficients (≈ 0.333 → ≈ 0.666), 7 strong cross-trend correlation coefficients (0.666 → ≈ 1,000), 4 weak correlation coefficients (≈ 0.000 → ≈ 0.333). These results show that investors should be careful to incorporate the shares of these companies into a single portfolio; the suggestion would be to group only the shares of companies that do not present predictability and have low rhoDCCA. The authors consider that this evidence will be important for institutional investors when carrying out trading strategies based on maximizing profitability, but also mitigating risk when diversifying.

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“…We have seen a strong correlation between past and future data series, which makes it possible for the investor to have an anomalous profitability when selecting an appropriate trading strategy, i.e., to obtain anomalous profitability without incurring additional risk. The possibility of investors being able to estimate price fluctuations may cause imbalances in financial markets, calling into question the implementation of strategies for efficient portfolio diversification (Alexandre, Dias, and Heliodoro, 2020;Alexandre, Heliodoro, and Dias, 2019;Diass, Rui;Carvalho, Luisa, 2020;Dias, da Silva, and Dionysus, 2019;Alexandre, 2019, 2020;Vasco, 2020b, 2020a;Dias, Heliodoro, Alexandre, et al, 2020a;Dias, Heliodoro, Teixeira, and Godinho, 2020;Dias, Pardal, Teixeira, & Machová, 2020;Heliodoro, Dias, Alexandre, and Vasco, 2020;Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020;Saints, Hortense;Dias, Rui, 2020).…”

Section: Introductionmentioning

confidence: 99%

Random Walks and Market Efficiency: Gold, Platinum, Silver vs Asia Equity Markets

Dias¹,

Alexandre²,

Vasco³

et al. 2021

International Scientific Conference EMAN – Economics and Management: How to Cope With Disrupted Times

Self Cite

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This paper aims to analyze the efficiency, in its weak form, in the markets of commodities, Platinum (London Platinum Free Market $/Troy oz), GOLD (Gold Bullion LBM $/t oz DELAY), SILVER (Silver – Zurich SW. francs/kg) and the stock markets of KOREA, CHINA, JAPAN, PHILIPPINES, IN¬DONESIA, from January 1, 2019 to October 20, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the Gold, Platinum, Silver markets have more robust levels of efficiency when compared to Asian stock markets? The results of the variance test indicate that the random walk hypothesis is rejected in the Gold, Platinum and Silver markets, as well as in the Asian stock markets, with no differences between markets. These findings show that profitability is auto-correlated over time, with a reversal of the mean, because the values of variance ratios are lower than the unit, i.e., price fluctuations are not i.i.d. The results have significant implications for investors, as market inefficiency can affect the domestic and international flows of an economy. In conclusion, the hypothesis of market efficiency, in weak form, may be questionable, since the prediction of the movement of a given market can be improved if the out-of-the-current movements of the other markets are considered, thus enabling the occurrence of arbitrage operations. These findings also make room for regulators in these markets to take steps to ensure better information between these markets and international markets.

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Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Cited by 14 publications

References 27 publications

Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective

Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective

Has the Global Pandemic of 2020 Led to Persistence in the Share Prices of Large Global Companies?

Random Walks and Market Efficiency: Gold, Platinum, Silver vs Asia Equity Markets

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