期刊
RESOURCES POLICY
卷 74, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2021.102340
关键词
Precious metals; Safe-haven; S&P 500; COVID-19
The study reveals that precious metal commodities still impact the S&P 500 stock market index in an asymmetric manner but have lost their safe-haven role. Aluminum has an asymmetric effect on S&P 500 in the short-run, while platinum, palladium, copper, and gold have a symmetric effect on S&P 500. Palladium, copper, and gold act as safe-haven assets against the S&P 500 stock market index in the short-term, but none of them serve as safe-haven assets in the long run.
This paper examines the presence of short- and long-run asymmetric relationships between precious metal commodities and S&P 500 stock market index and explores the safe-haven role of five precious metals (Aluminum, Platinum, Palladium, Copper, Gold) against the S&P 500 market index. We apply the nonlinear ARDL framework on daily data covering the COVID-19 pandemic period from 12/31/2019 to 06/25/2021. The main results highlight that precious metal commodities still impact the S&P 500 stock market index in an asymmetric manner but have lost their safe-haven role against the S&P 500 index. In the short-run, only aluminum has an asymmetric effect on S&P 500. However, Platinum, palladium, copper and gold have a symmetric effect on S&P 500. In the short-term, palladium, copper and gold are safe-haven assets against the S&P 500 stock market index. Furthermore, none of the considered precious metals acts as a safe-haven asset in the long-run. Our results have significant implications for portfolio investment strategies.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据