ABSTRACT
This research analyses the relative efficacy of gold price, financial market, and stock exchange hedging against sectoral and industry-level global stock market returns. Incorporating Gold into equity-based asset allocation techniques and assessing the stock market and financial sector during the COVID-19 epidemic is one way to diversify your portfolio and reduce risk. After orthogonalizing raw returns concerning a robust collection of relevant universal variables, we conduct our analysis inside a bivariate GARCH(p, q) framework. To further assess ideal portfolio proportions and the efficacy of hedging methods, we expand the volatility spillovers study by calculating the optimal weights for a minimal risk portfolio and determining the hedge ratio. In high-volatility environments, our results show which financial market and stock exchange sectors and industries investors should prioritize to minimize the risk and maximize reward. Use of country-specific macroeconomic variables indices to supplement the worldwide index, (3) separate analysis for the COVID-19 first wave due to the existing argument that the pandemic raises unexpected market events and our early data showing co-movement among the three unpredictability metrics during the pandemic. These findings have important implications for portfolio entrepreneurs and business investors looking to buy international equities.