Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries
This paper investigates the role of various financial assets as diversifiers, hedges, and safe havens using the dynamic conditional correlation-GARCH and quantile regression models, for the period from August, 10 2015 to June, 5 2024 for the case of G7, BRIC, and GCC countries. Results show that gol...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2025-12-01
|
| Series: | Cogent Business & Management |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23311975.2025.2451132 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1841543869156556800 |
|---|---|
| author | Marwa Eleuch Nada Souissi Mourad Mroua |
| author_facet | Marwa Eleuch Nada Souissi Mourad Mroua |
| author_sort | Marwa Eleuch |
| collection | DOAJ |
| description | This paper investigates the role of various financial assets as diversifiers, hedges, and safe havens using the dynamic conditional correlation-GARCH and quantile regression models, for the period from August, 10 2015 to June, 5 2024 for the case of G7, BRIC, and GCC countries. Results show that gold’s robust safe-haven status, alongside commodities like oil, gas, and wheat, which exhibit varying degrees of resilience in turbulent market conditions. Our findings identify the G7 and BRIC indices as strong safe havens, contrasting with the clean energy index, which shows limited safe-haven properties during crises. This research provides critical insights into asset behavior under extreme market volatility, offering practical implications for investment strategies and risk management by highlight the strategic decisions for asset allocation during uncertain financial periods. |
| format | Article |
| id | doaj-art-dec0d1a81eb74377b96e9cdba7c2692e |
| institution | Kabale University |
| issn | 2331-1975 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Business & Management |
| spelling | doaj-art-dec0d1a81eb74377b96e9cdba7c2692e2025-01-13T05:22:04ZengTaylor & Francis GroupCogent Business & Management2331-19752025-12-0112110.1080/23311975.2025.2451132Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countriesMarwa Eleuch0Nada Souissi1Mourad Mroua2Institut des Hautes Etudes Commerciales de Sfax, TunisieInstitut des Hautes Etudes Commerciales de Sfax, TunisieInstitut des Hautes Etudes Commerciales de Sfax, TunisieThis paper investigates the role of various financial assets as diversifiers, hedges, and safe havens using the dynamic conditional correlation-GARCH and quantile regression models, for the period from August, 10 2015 to June, 5 2024 for the case of G7, BRIC, and GCC countries. Results show that gold’s robust safe-haven status, alongside commodities like oil, gas, and wheat, which exhibit varying degrees of resilience in turbulent market conditions. Our findings identify the G7 and BRIC indices as strong safe havens, contrasting with the clean energy index, which shows limited safe-haven properties during crises. This research provides critical insights into asset behavior under extreme market volatility, offering practical implications for investment strategies and risk management by highlight the strategic decisions for asset allocation during uncertain financial periods.https://www.tandfonline.com/doi/10.1080/23311975.2025.2451132Financial propertiescommoditiesbondsMSCI marketsDCC-GARCH modelquantile regression |
| spellingShingle | Marwa Eleuch Nada Souissi Mourad Mroua Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries Cogent Business & Management Financial properties commodities bonds MSCI markets DCC-GARCH model quantile regression |
| title | Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries |
| title_full | Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries |
| title_fullStr | Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries |
| title_full_unstemmed | Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries |
| title_short | Does the crisis period affect the properties of various financial assets: evidence from G7, BRIC, GCC countries |
| title_sort | does the crisis period affect the properties of various financial assets evidence from g7 bric gcc countries |
| topic | Financial properties commodities bonds MSCI markets DCC-GARCH model quantile regression |
| url | https://www.tandfonline.com/doi/10.1080/23311975.2025.2451132 |
| work_keys_str_mv | AT marwaeleuch doesthecrisisperiodaffectthepropertiesofvariousfinancialassetsevidencefromg7bricgcccountries AT nadasouissi doesthecrisisperiodaffectthepropertiesofvariousfinancialassetsevidencefromg7bricgcccountries AT mouradmroua doesthecrisisperiodaffectthepropertiesofvariousfinancialassetsevidencefromg7bricgcccountries |