Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market

Authors

DOI:

https://doi.org/10.5902/1983465961307

Keywords:

Gold, Silver, Safe haven, Risk diversification, Latin America.

Abstract

Purpose - This essay aims to analyze whether gold (Gold Bullion: Zurich) and silver (Silver Paris Spot E/KG) will be a safe haven for diversifying portfolios in Latin America's stock markets.

Design/methodology/approach  - The analyzed data are the price indexes of the stock markets of Argentina (S&P Merval), Brazil (Ibovespa), Chile (S&P/CLX IGPA), Peru (S&P/BVL General IGBL), Mexico (IPC), USA (Dow Jones), gold (Gold Bullion: Zurich), and silver (Silver Paris Spot E/KG), from December 31, 2019 to September 2, 2020. To answer the research question we used Gregory and Hansen’s methodology (1996), and the VAR Granger causality/block exogeneity Wald tests model.

Findings - The results indicate that the markets have very significant integrations and causalities, that is, gold and silver do not function as safe havens for the diversification of portfolios in Latin American stock markets.

Research limitations/implications - While the present investigation used general indices, in future studies sectoral indices can be used, as well as intraday data to have more robust evidence regarding the diversification of portfolios in these regional markets.

Originality/value - This investigation differs from previous studies because it focuses on the rebalancing of portfolios through the estimation of integration models and shocks between gold and silver and the Latin American markets. This differs from the previous ones, which analyzed the average dependencies between gold and financial market movements, and between gold and currency depreciation.

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Author Biographies

Rui Dias, Instituto Politécnico de Setúbal e CEFAGE, Universidade de Évora

Doutor em Finanças, Investigador do CEFAGE, Universidade de Évora, Professor no Instiuto Pliténcico de Setúbal, Portugal

Luísa Cagica Carvalho, Instituto Politécnico de Setúbal e CEFAGE- Universidade de Évora, Portugal

Doutora em Gestão pela Universidade de Évora (2008). Investigadora do Centro de Estudos de Formação Avançada em Gestão e Economia (CEFAGE) da Universidade de Évora. 

Professora coordenadora do Departamento de Economia e Gestão na Escola Superior de Ciências Empresariais do Instituto Politécnico de Setúbal (desde 2018) sendo atualmente diretorado mestrado em Ciências Empresariais. Professora auxiliar na Unoversidade Aberts onde coordenou o Mestrado em Gestão e o curso em Empreendedorismo e Novos Negócios. Professora auxiliar na Universidade Aberta, Lisboa (2013-2018). Professora adjunta na Escola Superior de Ciências Empresariais do Instituto Politécnico de Setúbal (1999-2013) onde desempenhou várias funções de coordenação, nomeadamente  Coordenadora da Mobilidade Internacional e Coordenadora da Unidade de Apoio à Inovação, I&D e Empreendedorismo.

Professora convidada  da Universidade de São Paulo – Brasil onde leciona e é co-responsável pela disciplina de Empreendedorismo e Inovação no Programa de Doutoramento em Administração das Organizações. 

Exerce a sua atividade docente e de investigação no domínio do empreendedorismo, inovação, internacionalização e setor dos serviços. É autora de 5 livros nacionais, coordenadora editorial de 8 livros internacionais e de 1 nacional, autora de vários capítulos de livros e de diversos artigos em revistas nacionais e internacionais e membro de diversos projetos de investigação nacionais e internacionais. Integra diversas comissões cientificas de conferências, jornais e revistas internacionais.

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Published

2020-11-28

How to Cite

Dias, R., & Carvalho, L. C. (2020). Hedges and safe havens: An examination of stocks, gold and silver in Latin America’s stock market. Revista De Administração Da UFSM, 13(5), 1114–1132. https://doi.org/10.5902/1983465961307

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Vol. 13 No. 5 (2020): Special Issue

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