Hedging stock price risk with gold during the outbreak of the covid pandemi
محورهای موضوعی : Business Management
Ali Baghani
1
,
Mojtaba Karimi
2
,
Azin Sadat OstadRamadan
3
1 - Assistant Professor, Department of Accounting and Finance, South Tehran Branch, Islamic Azad University, Tehran, Iran.
2 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
3 - Research Expert of Kowsar Insurance Company, Tehran, Iran.
کلید واژه: risk hedging, stock price, gold, COVID disease,
چکیده مقاله :
Risk contagion refers to the transmission of information across financial markets. However, for investors, minimizing risk is crucial, and one way to achieve this is by diversifying their investment portfolio across different markets. In this research, the focus is on managing investor risk in the capital market by hedging stock price risk with gold, particularly during the COVID-19 outbreak. The DCC (Dynamic Conditional Correlation) and ADCC (Asymmetric Dynamic Conditional Correlation) models were employed for this purpose. The data used for analysis encompasses the monthly prices of Bahar Azadi gold coin and company stocks from 2017 to 2022. The research findings indicate an asymmetric correlation between the price of Bahar Azadi gold coin and the stock price of selected chemical and basic metals companies during the research period. The optimal risk hedging ratios have significantly increased in all companies during the COVID period, implying higher risk hedging costs. The research also reveals that F_khas (Khorasan steel company) exhibits the highest risk hedging efficiency, indicating its effectiveness in using gold for risk hedging. On the other hand, the symbol of Sh_iran (Iran Chemical Industries Company) demonstrates the lowest efficiency in using gold for risk coverage. These results offer an opportunity for investors to optimize their risk hedging and asset allocation strategies.
Risk contagion refers to the transmission of information across financial markets. However, for investors, minimizing risk is crucial, and one way to achieve this is by diversifying their investment portfolio across different markets. In this research, the focus is on managing investor risk in the capital market by hedging stock price risk with gold, particularly during the COVID-19 outbreak. The DCC (Dynamic Conditional Correlation) and ADCC (Asymmetric Dynamic Conditional Correlation) models were employed for this purpose. The data used for analysis encompasses the monthly prices of Bahar Azadi gold coin and company stocks from 2017 to 2022. The research findings indicate an asymmetric correlation between the price of Bahar Azadi gold coin and the stock price of selected chemical and basic metals companies during the research period. The optimal risk hedging ratios have significantly increased in all companies during the COVID period, implying higher risk hedging costs. The research also reveals that F_khas (Khorasan steel company) exhibits the highest risk hedging efficiency, indicating its effectiveness in using gold for risk hedging. On the other hand, the symbol of Sh_iran (Iran Chemical Industries Company) demonstrates the lowest efficiency in using gold for risk coverage. These results offer an opportunity for investors to optimize their risk hedging and asset allocation strategies.
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