TY - JOUR
T1 - Quantile dependencies between precious and industrial metals futures and portfolio management
AU - Mensi, Walid
AU - Ramzi Nekhili
AU - Xuan Vinh Vo
AU - Sang Hoon Kang
N1 - Publisher Copyright:
© 2021 Elsevier Ltd
PY - 2021
Y1 - 2021
N2 - This paper examines the dependence structure between precious metals (gold, silver, platinum, and palladium) and industrial metals (aluminum, copper, zinc, tin, lead, and nickel) futures under different market statuses and time investment horizons. Using the quantile cross-spectral approach, we show evidence of a significant symmetric positive dependence between gold and silver in the short term regardless of the market conditions. Moreover, we find asymmetric dependence between gold and tin and between silver and platinum. Under a bearish-bullish market, we observe that nickel is negatively associated with both silver and palladium and positively associated with gold and platinum. The opposite holds in the bearish-bullish market in which nickel is negatively associated with both silver and palladium and positively associated with gold and platinum. A positive dependence between metals is observed in the medium term under extreme market conditions (bear and bull). In the long term, precious metals serve as a safe haven asset. A portfolio management analysis shows the importance of precious metals assets in terms of portfolio diversification benefits and hedging purposes, especially in the long term.
AB - This paper examines the dependence structure between precious metals (gold, silver, platinum, and palladium) and industrial metals (aluminum, copper, zinc, tin, lead, and nickel) futures under different market statuses and time investment horizons. Using the quantile cross-spectral approach, we show evidence of a significant symmetric positive dependence between gold and silver in the short term regardless of the market conditions. Moreover, we find asymmetric dependence between gold and tin and between silver and platinum. Under a bearish-bullish market, we observe that nickel is negatively associated with both silver and palladium and positively associated with gold and platinum. The opposite holds in the bearish-bullish market in which nickel is negatively associated with both silver and palladium and positively associated with gold and platinum. A positive dependence between metals is observed in the medium term under extreme market conditions (bear and bull). In the long term, precious metals serve as a safe haven asset. A portfolio management analysis shows the importance of precious metals assets in terms of portfolio diversification benefits and hedging purposes, especially in the long term.
KW - Metals futures markets
KW - Portfolio management
KW - Quantiles
KW - Spillovers
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U2 - 10.1016/j.resourpol.2021.102230
DO - 10.1016/j.resourpol.2021.102230
M3 - Article
SN - 0301-4207
VL - 73
JO - Resources Policy
JF - Resources Policy
M1 - 102230
ER -