Assessing the impacts of Covid-19 on stock exchange, gold prices, and financial markets: Fresh evidences from econometric analysis
Li J. Wang R. Aizhan D. Karimzade M.
June 2023Elsevier Ltd
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2023#83
This research analyses the relative efficacy of gold price, financial market, and stock exchange hedging against sectoral and industry-level global stock market returns. Incorporating Gold into equity-based asset allocation techniques and assessing the stock market and financial sector during the COVID-19 epidemic is one way to diversify your portfolio and reduce risk. After orthogonalizing raw returns concerning a robust collection of relevant universal variables, we conduct our analysis inside a bivariate GARCH(p, q) framework. To further assess ideal portfolio proportions and the efficacy of hedging methods, we expand the volatility spillovers study by calculating the optimal weights for a minimal risk portfolio and determining the hedge ratio. In high-volatility environments, our results show which financial market and stock exchange sectors and industries investors should prioritize to minimize the risk and maximize reward. Use of country-specific macroeconomic variables indices to supplement the worldwide index, (3) separate analysis for the COVID-19 first wave due to the existing argument that the pandemic raises unexpected market events and our early data showing co-movement among the three unpredictability metrics during the pandemic. These findings have important implications for portfolio entrepreneurs and business investors looking to buy international equities.
COVID-19 , Financial markets , Gold prices , Stock exchange , Volatility spillovers
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Wuhan Polytechnic University, School of Economics, Wuhan, Hubei, 430048, China
Northwest Institute of Historical Environment and Economic and Social Development, Shaanxi Normal University, Shaanxi, Xian, 710119, China
Department of Economics and Finance, Narxoz University, Almaty, Kazakhstan
Public Management And Social Innovations Departments, Azerbaijan State University of Economics (UNEC), Azerbaijan
Wuhan Polytechnic University
Northwest Institute of Historical Environment and Economic and Social Development
Department of Economics and Finance
Public Management And Social Innovations Departments
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