Journal Articles

Permanent URI for this collectionhttps://mro.massey.ac.nz/handle/10179/7915

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Author: search.filters.author.Naeem MASubject: search.filters.subject.hedge

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    Oil as hedge, safe-haven, and diversifier for conventional currencies
    (MDPI (Basel, Switzerland), 2020-09) Liu C; Naeem MA; Rehman MU; Farid S; Shahzad SJH
    The research investigates the safe-haven, hedging, and diversification function of crude oil for conventional currencies, among which five are major oil exporters, and six are major oil importers. In order to model time-varying dynamic correlations between crude oil and currencies, the study uses the Asymmetric-DCC model. The findings highlight low or negative correlations, especially during the crisis period. Next, we employ a quantile based regression framework and conclude distinct safe-haven and hedge functions of oil for major currencies. We provide additional evidence on the safe-haven, hedging, and diversification function of crude oil using the cross-quantilogram framework. The findings of out of sample analysis illustrate that the hedging effectiveness of oil is greater for oil-exporting countries. In addition, the conditional diversification benefit of oil is higher in the lower quantiles, i.e., when both foreign exchange and oil markets are in a bearish state. Finally, implications for investors, portfolio managers, and policymakers are further discussed.
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    Can Bitcoin Glitter More Than Gold for Investment Styles?
    (SAGE Publications Inc, 2020-05-26) Naeem MA; Hasan M; Arif M; Shahzad SJH
    We compare the hedging, safe-haven, and diversification potential of gold and Bitcoin for different investment styles and industry portfolios in the United States. We find that gold is at least a weak hedge for the style and industry portfolios except for utilities, energy, and telecom. The hedging potential of gold is comparatively higher for large-cap portfolios, whereas Bitcoin offers minimal hedging effectiveness. However, Bitcoin shows hedging potential for the noncyclical industries. Although investors need a higher amount of investment to hedge the downside risk using gold, it still is a superior hedging instrument compared with Bitcoin. Finally, the analysis using the conditional diversification approach shows that gold is a superior and stable diversifier for style and industry portfolios. Overall, our findings provide evidence of superior safe-haven and hedging potential of gold over Bitcoin.