Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar
International Journal of Housing Markets and Analysis
ISSN: 1753-8270
Article publication date: 4 February 2022
Issue publication date: 2 January 2023
Abstract
Purpose
This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential) against equity returns in Pakistan over the monthly period of January 2011–December 2020.
Design/methodology/approach
The authors use wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Further, the authors also study the potential of diversification at the tail of returns distribution by applying the wavelet value-at-risk (VaR) framework.
Findings
The results of wavelet coherence show that the dependence is weaker (stronger) in the short (long)-term investment horizon. Moreover, the findings of wavelet VaR reveal that the degree of co-movement between gold and equity returns greatly affects the portfolio risk followed by residential property and oil.
Practical implications
The findings are beneficial for the individual investor, fund managers and financial advisors looking for the optimal portfolio combination that hedges the excessive negative movements in equity returns subject to the heterogeneity in the investment horizon.
Originality/value
This is a primary effort to estimate safe-haven investments opportunities at a large spectrum, including disaggregated real estate sector against stock returns in Pakistan. Moreover, this study uses wavelet coherence and wavelet VaR which have an advantage over traditional analysis for diversification.
Keywords
Acknowledgements
Competing interests: The authors declare that they have no competing interests.
Ethics approval and consent to participate: Not applicable.
Consent for publication: Not applicable.
Availability of data and materials: Data sharing does not apply to this article as no new data sets were generated during the current study.
Funding source: This research is not funded by any organization or agency. Therefore, no funding source is available.
Conflict of interest: The authors do not have any conflict of interest.
Citation
Imran, Z.A. and Ahad, M. (2023), "Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar", International Journal of Housing Markets and Analysis, Vol. 16 No. 1, pp. 167-189. https://doi.org/10.1108/IJHMA-12-2021-0134
Publisher
:Emerald Publishing Limited
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