A1495
Title: Does correlation of various commodities constitute reliable safe havens?
Authors: Demetris Koursaros - Cyprus University of Technology (Cyprus)
Christos Savva - Cyprus University of Technology (Cyprus) [presenting]
Konstantinos Dimitriadis - Cyprus University of Technology (Cyprus)
Abstract: The aim is to set under examination the ability of representative sectoral stock indices, gold, oil, Bitcoin, and wheat to mitigate risk and improve portfolio performance during normal times versus crises. The innovative generalized dynamic conditional correlations (Generalized-DCC) framework is adopted covering from 9 January 2017 until 30 August 2022. Econometric findings reveal that sectoral indices are weakly connected in mean but strongly in volatility. Gold is an efficient hedger, and oil follows, and both render better shelters during crises, while Bitcoin fails to significantly differentiate from conventional markets in stressed periods. Notably, wheat is a trustworthy hedger overall, but its safe haven abilities do not intensify during crises. Thereby, gold, oil, and wheat should be employed by investors to confront powerful bear tendencies in portfolios with stock indices in turbulent eras.
