Document Type : Research Paper
Authors
1
Assistant Professor of Accounting, Faculty of Humanities, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran (Corresponding Author)
2
Ph.D. Candidate., Department of Accounting, Faculty of Humanities, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran.
3
Assistant Prof., Department of Accounting, Faculty of Humanities, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran.
4
Assistant Prof., Department of Economic, Faculty of Humanities, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran.
10.22059/frj.2024.350280.1007403
Abstract
تدوین مدل اندازه‌گیری و ارزیابی نقش کالاها به‌عنوان ابزار پوشش‌ریسک در پرتفوی سرمایه‌گذاران
چکیده
هدف: پژوهش حاضر به بررسی نقش کالاها به‌عنوان ابزار سرمایه‌گذاری مستقل و تعیین نوع رابطه آن‌ها با یکدیگر، چگونگی رفتار کالاها در پرتفوی‌های مختلط و اینکه در این پرتفوی‌ها کدام نسبت‌ها برای «شاخص سهام و کالاها» جهت تصمیمات انتخاب سبد بهینه مطلوب است، می‌پردازد. هدف اصلی، بررسی فرضیه تنوع‌بخشی و پوشش‌ریسک (پناهگاه امن) کالاهای نقدی و آتی بورس کالای ایران در برابر سهام «در دوره‌های رونق و رکود بازار» و تعیین پرتفوی حداقل واریانس است.
Developing a Measurement Model and Evaluating the Role of Commodities as a Hedging Tool in Investor Portfolios
Abstract
Objective: This study investigated the role of commodities as independent investment tools and determined their relationship with one another, how commodities behave in hybrid portfolios, and which relationships between commodities and the stock index are appropriate for making portfolio selection decisions. The primary goal was to examine the commodity (Spot and Derivative) diversification strategy (hedging, Safe-haven) for the stocks and determine the minimum variance portfolio.
Methods: This research is applied in terms of the type of objective and quantitative in terms of the experimental research method. Research approach is deductive since we investigate the expected benefits empirically using the historical data. The current research is theoretically among the proof researches and statistically, it is a correlational study (econometrical models). To this end, Market testing regression model, dynamic conditional correlation (DCC-GARCH) and the Markowitz model (portfolio optimization model) were applied to daily data from the stock and commodity markets over an 11-year period from 2009 to 2020.
Results: The findings revealed that indicating commodities are "alone" a risky place to invest. Gold is the only commodity that can be assumed to be similar to a stock market because it has the same return and volatilities the stock market. Other commodities have significantly higher volatility than the stock index, indicating higher risks for these commodities, in market test model, some commodities such also have the ability to cover properly as a strong safe haven in different regimes. Adding commodities individually to a stock portfolio had a low return but was compensated for by low fluctuations some commodities, performed well in a hybrid portfolio, reducing the rate of portfolio fluctuation while providing an equal or even higher return. In general, by including a commodity portfolio in the hybrid portfolio, the stock index still weighed more (about 94%), but the average portfolio risk was significantly reduced (about 1/557), yielding a better Sharpe ratio.
Conclusion: Hence, investing in commodities would be a better option for reaping the benefits of diversification. Furthermore, when making investment decisions, the bull and bear periods of the stock market should be considered. The findings revealed that business cycle phases are a strong indicator for tactical allocation to commodities. The results of this study support the evidence that the behavior of different commodity groups is quite different. According to the findings, hedging is not always a safe haven for the stock market and vice versa.
Keywords: Commodity Market, Diversification (Hedge), Optimal Asset Portfolio, Safe-haven, Stock Market
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