Abstract
This study examines the effectiveness of various financial instruments as hedges and safe havens during different market conditions in the MENA region. It compares traditional safe-haven investments ( gold, silver, and oil) and non-traditional safe-havens (cryptocurrencies and ESG stocks) to determine which investments function better as hedges and safe havens during different market conditions. The data covers eight years, starting in 2015 and ending in early 2023. DCC GARCH is utilized to examine time variation in conditional correlations. This study finds that Gold, Silver, and cryptocurrency can be considered strong hedges to the MENA market on average and weak safe havens during times of uncertainty. Oil can only be considered a weak hedge on average and presents stable correlations with the MENA index during specific periods. The ESG index does not provide evidence for being a good hedge or safe-haven.
School
School of Business
Department
Management Department
Degree Name
MS in Finance
Graduation Date
Spring 5-30-2023
Submission Date
5-20-2023
First Advisor
Dr. Wael Abdallah
Committee Member 1
Dr. Mina Ayad
Committee Member 2
Dr. Rim Cherif
Extent
41 p.
Document Type
Master's Thesis
Institutional Review Board (IRB) Approval
Not necessary for this item
Recommended Citation
APA Citation
Sakr, R. Z.
(2023).Navigating Uncertainty: The Role of Gold, Silver, Oil, Cryptocurrency, and ESG indices in the MENA Region [Master's Thesis, the American University in Cairo]. AUC Knowledge Fountain.
https://fount.aucegypt.edu/etds/2098
MLA Citation
Sakr, Rahaf Zakaria. Navigating Uncertainty: The Role of Gold, Silver, Oil, Cryptocurrency, and ESG indices in the MENA Region. 2023. American University in Cairo, Master's Thesis. AUC Knowledge Fountain.
https://fount.aucegypt.edu/etds/2098