Portfolio diversification during monetary loosening policy

Abstract

If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -The purpose of the paper is to analyze the impact of quantitative easing (QE) performed in the USA on relationship between assets mainly from mining and oil industries. Based on the empirical results, the method of diversified portfolio creation has been proposed. Design/methodology/approach -Nine DCC-GARCH-type models have been estimated for each group centered around a main asset: a company from the oil or mining industry, the appropriate currency pair for its market of origin, commodities which could be used for the diversification of risk involved in investing in a portfolio containing the company, and the largest company from the same industry listed on the US market. Each series of conditional correlations was analyzed with regard to the changes that occurred during the various stages of QE. Findings -The correlations are shown to be stabilizing in the successive stages of QE. The most significant changes in the distribution of correlations can be observed after the first stage of QE. The effects of QE are evident not only in the USA but also in other countries; however, the level of its influence varies between different markets and assets. It is possible to diversify the inflation, currency and market portfolio risk by appropriately chosen asset decomposition. Research limitations/implications -The DCC model is limited, so to provide more precise results, more sophisticated models can be estimated and compared. Practical implications -The paper investigate the fact of stabilization in financial markets relations. The findings may prove the validity of continuation of QE. A portfolio creation method has been proposed -it has been stated that including commodity in portfolio is more appropriate then only-bond-equity mix. Originality/value -The new approach of analyzing financial stability has been proposed -the control for stability of conditional correlation.

Gold Investment Incentives: An Empirical Identification of the Main Gold Price Determinants and Prognostication of Gold Price Future Trends

“…The importance of gold as of an investment was highlighted by (Jaffe, 1989;Michaud et al, 2006;Conover et al, 2009;Riley, 2010;Baur, 2013;Bradfield, & Munro, 2016) and many others. The specific role of gold in diversification of portfolio investment was analysed by (Sherman, 1982;Adrangi et al, 2000;Smith, 2002;Liu, & Chou, 2003;Davidson et al, 2003;Lucey, Tulley, 2006 a,b;Ibrahim, 2012;Makiel, 2015;Brycki, 2015;Bundrik, 2016;Yu, H.-C., Lee, C.-J. & Shih, T.-L., 2016;Giannarakis, G., Partalidou, X, Zafeiriou, & Sariannidis, N., 2016) and others.…”