Hedging stock price risk with gold during the outbreak of the Corona virus (Case study of export oriented companies)

Subject Areas : Journal of Capital Market Analysis

mojtaba karimi ¹ , Ali Nemati ² , Azin Sadat Ostadramezan ³

1 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Department of Economics, Central Tehran Branch, Islamic Azad University, Tehran, Iran.

Received: 2023-12-16 Accepted : 2024-03-10 Published : 2024-08-08

Keywords: stock price. risk hedging, gold, corona disease,

Abstract :

Risk contagion between financial assets indicates the process of transferring information between markets. In this research, in order to manage the risk of investors in the capital market, hedging the risk of stock prices with gold during the outbreak of the Corona disease has been investigated. For this purpose, DCC and ADCC models were used. The data used are the price of Bahar Azadi coin and the company's stock price on a monthly basis during the period of 2017 to 2018. The results show that there is an asymmetric correlation during the research period between the price of Bahar Azadi coin and the stock price of selected companies of the chemical and basic metals group, and the optimal risk coverage ratios have increased significantly in all companies during the Corona period, which means that the cost of coverage It has a higher risk during the Corona period. Also, the findings of the research show that before Corona and during the Corona crisis, the highest risk hedging efficiency is related to Fakhas company, which shows that Fakhas has the highest efficiency in using gold for risk hedging among different companies. The lowest value before Corona and during the Corona crisis is related to the Shiran symbol. This case shows that Sheeran's symbol is the least efficient in using gold to cover risk among different companies. The results of this research provide an opportunity for investors to optimally use risk hedging and asset allocation strategies.