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Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach.

Awatef Ourir¹, Elie Bouri², Essahbi Essaadi³

¹Laboratory QuARG UR17ES26, University of Jendouba, FSEJG, Jendouba, Tunisia.

Computational Economics

|October 11, 2021

Summary

This study introduces a spectral approach for optimal gold and stock market portfolio hedging in MENA markets. The spectral method proves superior to DCC-GARCH and wavelet approaches for minimizing risk and maximizing returns.

Keywords:

DCC-GARCH model Evolutionary spectral analysis Gold Hedge ratio Stock market index

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Area of Science:

* Financial Economics
* Econometrics
* Time Series Analysis

Background:

* The dynamic correlation between gold and stock markets is a long-standing debate in portfolio management.
* Existing methods for portfolio optimization often fail to capture the complex interdependencies between gold and stock market indices.
* Hedging strategies are crucial for mitigating risk and enhancing returns in volatile financial markets.

Purpose of the Study:

* To investigate the optimal portfolio composition between gold and stock market indices in eight MENA countries.
* To introduce and evaluate a novel spectral approach for portfolio hedging.
* To compare the performance of the spectral approach against conventional DCC-GARCH and wavelet methods.

Main Methods:

* Application of a spectral approach to analyze the dynamic correlation between gold and stock markets.
* Construction and evaluation of seven portfolio structures based on the spectral method.
* Comparative analysis with the dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) method and wavelet-based portfolios.

Main Results:

* The spectral-based approach significantly outperforms both DCC-GARCH and wavelet methods in portfolio optimization.
* Optimal gold-stock allocation is contingent upon the spectral density characteristics of individual stock market indices.
* Stock markets with stable spectral densities necessitate higher allocations to gold for effective hedging.

Conclusions:

* The spectral approach offers a more effective framework for gold-stock portfolio hedging compared to existing methods.
* Understanding the spectral density of stock markets is critical for determining optimal gold investment.
* This research provides valuable insights for investors seeking to optimize portfolio risk and return in MENA markets.