Ourir Awatef, Bouri Elie, Essaadi Essahbi
Laboratory QuARG UR17ES26, University of Jendouba, FSEJG, Jendouba, Tunisia.
School of Business, Lebanese American University, Beirut, Lebanon.
Comput Econ. 2023;61(1):197-231. doi: 10.1007/s10614-021-10204-8. Epub 2021 Oct 2.
In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar, and Oman) and examine the optimal composition between gold and the stock market index, with a minimum portfolio risk and a high expected return. Based on the spectral approach, we propose seven portfolio structures and evaluate them through a comparison with the conventional DCC-GARCH method and the most best 10 portfolios constructed by using wavelet approach. The main results show that the spectral-based approach outperforms the DCC-GARCH and the wavelet methods. In fact, the optimal gold-stock composition depends on the spectral density of each stock market index, where a stock market index with a stable spectral density requires more investments in gold than a stock market index with an unstable spectral density.
在本文中，我们通过在投资组合套期保值框架内考虑一种谱方法，为有关黄金与股票市场之间动态相关性的长期争论做出了贡献。具体而言，我们考察了八个中东和北非地区的股票市场（突尼斯、埃及、摩洛哥、约旦、阿联酋、沙特阿拉伯、卡塔尔和阿曼），并研究了黄金与股票市场指数之间的最优构成，以实现最低的投资组合风险和较高的预期回报。基于谱方法，我们提出了七种投资组合结构，并通过与传统的动态条件相关广义自回归条件异方差（DCC-GARCH）方法以及使用小波方法构建的最佳10个投资组合进行比较来对其进行评估。主要结果表明，基于谱的方法优于DCC-GARCH方法和小波方法。事实上，最优的黄金-股票构成取决于每个股票市场指数的谱密度，其中谱密度稳定的股票市场指数比谱密度不稳定的股票市场指数需要更多的黄金投资。
