Azimli Asil
Department of Accounting and Finance, Cyprus International University, Haspolat, T.R. North Cyprus, Via Mersin 10, Turkey.
Resour Policy. 2022 Aug;77:102679. doi: 10.1016/j.resourpol.2022.102679. Epub 2022 Mar 21.
This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return distributions are examined for the pre-COVID and post-COVID periods. The results show that copper is a weak safe-haven for the US equity market at the upper-tail of conditional distribution of cooper returns during the post-COVID period. Gold loses its hedge status during the post-COVID period while silver is a strong safe-haven against international equity markets at the upper-tail of conditional return distribution of silver. Further, iron pose weak safe-haven properties against international equity markets when iron returns are extremely positive. However, neither conventional nor green energy stocks act as safe-haven against international equity markets. Current results may provide guidance for risk management, portfolio management and policy decisions during the post-COVID-19 period.
本文考察了新冠疫情期间铜、铁、黄金、白银和能源类股在国际股票市场中的避险作用。具体而言，研究了新冠疫情前和疫情后时期，条件收益分布不同点上收益依赖性的程度和结构。结果表明，在疫情后时期，铜在铜收益条件分布的上尾对美国股票市场而言是一种较弱的避险资产。黄金在疫情后时期失去了其避险地位，而白银在白银条件收益分布的上尾对国际股票市场是一种强大的避险资产。此外，当铁的收益极其正时，铁对国际股票市场表现出较弱的避险属性。然而，传统能源股和绿色能源股都不能作为国际股票市场的避险资产。当前研究结果可为新冠疫情后时期的风险管理、投资组合管理及政策决策提供指导。
