Files and links (1)
Published, Version of Record (VoR)Open Access (License Unspecified), Open
Journal article
Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management
Research in international business and finance, v 55, 101316
Jan 2021
PMID: 34173411
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
[Display omitted]
Using daily data, this paper examines the relationship between the returns of gold and seven sectoral indices in the Bombay Stock Exchange (BSE) for the period from January 2000 to May 2018. Given the importance of gold in India, there are significant issues in a portfolio selection in that country. By addressing the hedged robust portfolio problems, this paper focuses on three vanilla portfolio problems: the maximum return portfolio allocation, the global minimum variance portfolio problem, and the Markowitz portfolio allocation by using various multiple generalized autoregressive conditional heteroskedasticity (GARCH) models. The paper finds that gold returns are significantly independent of the returns of the BSE sectoral indices. Besides, gold returns can help predict the future returns of the Consumer Durables and the Fast-Moving Consumer Goods indices as well as the Oil & Gas equity indices. Finally, the findings also show that gold hedges against the information technology stock index and serves as a robust portfolio diversification tool. With these new results, this paper offers several implications for investors and risk management purposes.
Metrics
Details
- Title
- Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management
- Creators
- Nader Trabelsi - Islamic UniversityGiray Gozgor - Istanbul Medeniyet UniversityAviral Kumar Tiwari - RajagiriShawkat Hammoudeh - LeBow College of Business, Drexel University, United States.
- Publication Details
- Research in international business and finance, v 55, 101316
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000599501200017
- Scopus ID
- 2-s2.0-85091243108
- Other Identifier
- 991019167978304721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance