Will inclusion of precious metals in Nigerian stocks and oil portfolio lead to diversification benefit in the era of covid-19? MGARCH-DCC approach

Ayojimi, Salami Monsurat and Fa-Yusuf, Habeebah Simisola and Haron, Razali (2020) Will inclusion of precious metals in Nigerian stocks and oil portfolio lead to diversification benefit in the era of covid-19? MGARCH-DCC approach. In: 22nd Malaysian Finance Association Conference 2020 (MFAC 2020), 17th-19th November 2020, Shah Alam, Selangor. (Unpublished)

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Abstract

This paper investigates the impact of Covid-19 pandemic shocks on the portfolio which comprises of Nigerian oil, Nigerian stocks, and precious metals such as gold, silver, and platinum. The argument that gold is consistently safe haven against shocks trigger this research. Since Covid-19 pandemic shock is novel with unique characteristics different from previously known shocks, this study examines whether precious metals especially gold remains as safe heaven investment at this period of Covid-19 pandemic. The results reveal that all commodities and stocks are affected by the pandemic shocks. This study establishes that the impact of the Covid-19 pandemic is more severe and even distorts the well-known market behaviour relative to the global experience of 2008 global financial crisis. The finding concluded that diversification benefit of including precious metals as a safe haven is not maintained during Covid-19 pandemic shocks and optimality of diversification benefit is challengeable.

Item Type:	Conference or Workshop Item (Plenary Papers)
Additional Information:	4581/84928 Presentation via online
Uncontrolled Keywords:	Precious metals, equity, energy, MGARCH-DCC, portfolio diversification benefits, covid-19 pandemic
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA29 Theory and method of social science statistics H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Institute of Islamic Banking & Finance (IIiBF)
Depositing User:	Dr. Razali Haron
Date Deposited:	20 Nov 2020 12:32
Last Modified:	20 Nov 2020 12:55
URI:	http://irep.iium.edu.my/id/eprint/84928

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