Purpose

This paper aims to evaluate the hedging and safe haven properties of gold, cryptocurrency and commodities against the Indian equity market.

Design/methodology/approach

First, the authors estimate the hedging and safe haven abilities of gold, cryptocurrency and commodities for the Indian stock market and further verify whether such properties vary across the broad stock market indices and over the different degrees of market volatility. Second, the authors use the multivariate GARCH framework to calculate the dynamic hedge ratios and hedging efficiencies to compare the hedging properties of the alternative asset classes. Third, the authors verify the robustness of the general findings during the recent crisis emanating from the outbreak of the COVID-19 pandemic.

Findings

Gold, cryptocurrency and most commodities have significant hedging abilities. Only natural gas, crude oil and aluminum, on the other hand, have safe haven property. Neither gold nor cryptocurrency qualifies as a safe haven asset. On the other hand, the financialization of the Indian commodities market provides a significant dividend to investors in terms of hedging and safe haven capabilities. The authors find the least negative hedge ratio and the highest positive hedging effectiveness for the stock-crude oil and stock-natural gas portfolios. The central observations of the paper remain immune to the COVID crisis.

Originality/value

Focusing on the Indian equity market, the paper compares the diversification abilities of traditional assets like gold with those of the modern class of assets, including cryptocurrency and other commodities.

中文翻译：

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为印度股市寻找对冲和避险资产——黄金、加密货币和大宗商品的比较

目的

本文旨在评估黄金、加密货币和大宗商品对印度股市的对冲和避险属性。

设计/方法/方法

首先，作者估计了黄金、加密货币和大宗商品对印度股市的对冲和避险能力，并进一步验证了这些属性是否在广泛的股市指数和不同程度的市场波动中有所不同。其次，作者使用多元 GARCH 框架计算动态对冲比率和对冲效率，以比较另类资产类别的对冲属性。第三，作者验证了在最近因 COVID-19 大流行爆发而引发的危机期间一般调查结果的稳健性。

发现

黄金、加密货币和大多数商品都具有显着的对冲能力。另一方面，只有天然气、原油和铝具有避险属性。黄金和加密货币都不符合避险资产的条件。另一方面，印度大宗商品市场的金融化在对冲和避险能力方面为投资者提供了可观的红利。作者发现库存原油和库存天然气投资组合的负对冲比率最小，正对冲有效性最高。这篇论文的核心观点仍然不受 COVID 危机的影响。

原创性/价值

该论文以印度股票市场为重点，比较了黄金等传统资产与包括加密货币和其他商品在内的现代资产类别的多样化能力。