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Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar

Author

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  • Zulfiqar Ali Imran
  • Muhammad Ahad
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.

Suggested Citation

  • Zulfiqar Ali Imran & Muhammad Ahad, 2022. "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, Emerald Group Publishing Limited, vol. 16(1), pages 167-189, February.
    • Handle: RePEc:eme:ijhmap:ijhma-12-2021-0134
    DOI: 10.1108/IJHMA-12-2021-0134
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    More about this item

    Keywords

    Pakistan; Diversification; Real estate; Equity; US dollar; Oil and gold; G11; G15; F21; Q02;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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