ABSTRACT
We analyze crude oil's dependence and the risk spillover effect on the Chinese stock market and the gold market. We compare both static and dynamic copula functions and calculate the average upward and downward spillover effect using the time-varying Copula model and the conditional value-at-risk approach. By utilizing daily data on crude oil prices, China's stock market, and the gold market, we observe an asymmetric spillover effect: the downside spillover effects from crude oil prices on the Chinese stock market and gold market are larger than the upside spillover effect. We then identify changes in the structure of the sample periods and calculate the dynamic conditional correlation between them. In addition, we explore the optimal weight and hedge ratios in diversified portfolios to mitigate potential risks. Our results suggest that investors and portfolio managers should frequently adjust their portfolio strategies, particularly during extreme events like COVID-19, when financial assets become more volatile. Furthermore, crude oil can help reduce the risk in the Chinese stock market and gold market to some extent during different sub-periods. © 2023 by the authors.
ABSTRACT
Innovation is one of the solutions and an important factor in our fast-paced and rapidly changing world. Only new solutions and innovative ideas can respond to the rapidly changing environment and its challenges. Dynamic change requires all economic actors to be flexible and open to innovation and novel solutions. The recent events of the coronavirus crisis, the previous economic growth constraints, have been solved through innovation. We look to ongoing research for solutions to the world's challenges. In many cases, these answers come from the areas and businesses most in need. In this paper, we want to assess the perception of RDI projects and the potential of different enterprises from a project, programme and portfolio management perspective. © 2022 IEEE.
ABSTRACT
This paper examines and analyses the volatility of precious metal assets and the portfolios management. The innovative study of precious metal assets and equity portfolios is instructive and forward-looking under the background of global COVID-19. We use GARCH model, Markowitz model, CAPM Model and Fama-French Three-Factor Model to study volatility, asset forecasts, and the relationship between asset prices and markets. The results show that, firstly, precious metals are less volatile than stocks;secondly, precious metals, especially gold, make up a large percentage of rational risk-hedged portfolios;and finally, the stock prices have an almost linear relationship with the market, but precious metal prices do not have a linear relationship with the market. Our conclusion suggests that investors should consider precious metal assets, especially gold, in addition to stocks when considering their portfolios, which helps to hedge investment risk and provides some guidance to the market. © 2022 SPIE.