TY - JOUR
T1 - Frequency interdependence and portfolio management between gold, oil and sustainability stock markets
AU - Nekhili, Ramzi
AU - Ziadat, Salem Adel
AU - Mensi, Walid
N1 - Publisher Copyright:
© 2023 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy
PY - 2023/12/1
Y1 - 2023/12/1
N2 - This paper examines the dynamic correlation relationship between Dow Jones sustainability indices (DJSI) with oil and gold in the time and frequency domain. Our empirical analysis discloses multiple imperative findings. First, the period of high dependence between oil and these DJSI assets seems to be restricted to only at higher frequency (128–256 days). As such, DJSI Europe, US, Asia-pacific, and Korea show the strongest dependence with oil in the long run. However, this inter-relationship is only visible from 2018 onwards. Second, across the dependency spectrum and at multiple frequencies, the link between DJSI indices and gold is minimal. Third, when comparing a benchmark portfolio with a blended portfolio composed of a suitability index with gold/oil, in consistency with the hedging ratios results, the utility gain is remarkably better in the sustainability/gold pairing. These findings indicate that the safe haven status of gold for investors in conventional stocks can be extended to investors in sustainability stocks.
AB - This paper examines the dynamic correlation relationship between Dow Jones sustainability indices (DJSI) with oil and gold in the time and frequency domain. Our empirical analysis discloses multiple imperative findings. First, the period of high dependence between oil and these DJSI assets seems to be restricted to only at higher frequency (128–256 days). As such, DJSI Europe, US, Asia-pacific, and Korea show the strongest dependence with oil in the long run. However, this inter-relationship is only visible from 2018 onwards. Second, across the dependency spectrum and at multiple frequencies, the link between DJSI indices and gold is minimal. Third, when comparing a benchmark portfolio with a blended portfolio composed of a suitability index with gold/oil, in consistency with the hedging ratios results, the utility gain is remarkably better in the sustainability/gold pairing. These findings indicate that the safe haven status of gold for investors in conventional stocks can be extended to investors in sustainability stocks.
KW - Frequency spillovers
KW - Gold
KW - Oil
KW - Sustainability stock markets
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UR - https://www.mendeley.com/catalogue/44da939a-d11c-3d13-a197-911a78a8d9d0/
U2 - 10.1016/j.inteco.2023.100461
DO - 10.1016/j.inteco.2023.100461
M3 - Article
AN - SCOPUS:85174732089
SN - 2110-7017
VL - 176
JO - International Economics
JF - International Economics
M1 - 100461
ER -