Do Precious Metals Act As Hedges and Safe Heavens against G-7 Stock Markets?: A Vine Copula Approach

29 Pages Posted: 20 Dec 2017 Last revised: 28 Nov 2018

See all articles by Marwa Talbi

Marwa Talbi

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA); University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)

Rihab Bedoui

University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)

Lotfi BelKacem

University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)

Christian de Peretti

University Claude Bernard Lyon 1; Ecole Centrale de Lyon

Date Written: December 19, 2017

Abstract

This paper investigates the role of precious metals (Gold, Silver and Platinum) as hedge and/or safe haven assets against the G-7 stock markets that represents the most developed economies, by characterizing the multivariate dependence structure using vine copulas, mainly the C-vine and the D-vine, to capture more flexibly the dependencies between the three precious metals and each stock market index. Therefore, by the information about the dependence on average and the dependence in extreme market conditions provided by the vine copula, we find that all precious metals under study serve as hedge and safe haven assets in almost all countries with different degrees.

These results are crucial for both investors and risk managers to understand portfolio diversification and risk reduction by including these precious metals in their investment portfolios.

Keywords: Precious Metals, G-7 Stock Markets, Vine Copulas, Hedge, Safe Haven, Diversification

JEL Classification: C02, C58, G1

Suggested Citation

Talbi, Marwa and Bedoui, Rihab and BelKacem, Lotfi and de Peretti, Christian, Do Precious Metals Act As Hedges and Safe Heavens against G-7 Stock Markets?: A Vine Copula Approach (December 19, 2017). Available at SSRN: https://ssrn.com/abstract=3090619 or http://dx.doi.org/10.2139/ssrn.3090619

Marwa Talbi (Contact Author)

University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) ( email )

50, Avenue Tony Garnier
Lyon Cedex 07, 69366
France

University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) ( email )

Sousse
Tunisia

Rihab Bedoui

University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) ( email )

Sousse, 4054
Tunisia

Lotfi BelKacem

University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) ( email )

Sousse
Tunisia

Christian De Peretti

University Claude Bernard Lyon 1 ( email )

ISFA
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Lyon Cedex 07, 69366
France
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HOME PAGE: http://isfa.univ-lyon1.fr/laboratoire-saf/membres-permanents-38-1.html

Ecole Centrale de Lyon

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France
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