Open Access Journal Article

Portfolio rebalancing in times of stress: Capital markets vs. Commodities

by Rui Manuel Teixeira Dias a,b orcid Nicole Rebolo Horta a orcid  and  Mariana Chambino a,* orcid
School of Business and Administration, Polytechnic Institute of Setúbal, Setúbal, Portugal
Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Évora, Portugal
Author to whom correspondence should be addressed.
Received: 10 February 2023 / Accepted: 6 March 2023 / Published: 7 March 2023


In light of the events of 2020 and 2022, this study aims to examine the co-movements between the capital markets of the Netherlands (AEX), France (CAC 40), Germany (DAX 30), the United Kingdom (FTSE 100), Italy (FTSE MIB), Spain (IBEX 35), Russia (IMOEX), and spot prices of crude oil (WTI), silver (XAG), gold (XAU), and platinum (XPT) from January 1, 2018 to December 31, 2022. The purpose of this analysis is to answer the following research question: (i) Did the events of 2020 and 2022 increase the shocks between stock markets and WTI, XAG, XAU, and XPT prices? The findings indicate that time series do not follow a normal distribution and are stationary. In response to the question of investigation, we found that during the Tranquil period, it was possible to verify the existence of 28 causal relationships (out of 110 possibilities). During the stress period, there was a very significant increase in the number of causal relationships between the market pairs under analysis (62 causal relationships out of 110 possibilities), including a relative increase in the influence of commodities on capital markets and capital markets on commodities. These findings show that during the events of 2020 and 2022, capital markets and commodities significantly accentuated their co-movements among themselves, indicating that alternative markets such as WTI, XAG, XAU, and XPT do not provide safe-haven properties. These results have implications for portfolio diversification during times of global economic uncertainty.

Copyright: © 2023 by Teixeira Dias, Horta and Chambino. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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ACS Style
Teixeira Dias, R. M.; Horta, N. R.; Chambino, M. Portfolio rebalancing in times of stress: Capital markets vs. Commodities. Journal of Economic Analysis, 2023, 2, 18.
AMA Style
Teixeira Dias R M, Horta N R, Chambino M. Portfolio rebalancing in times of stress: Capital markets vs. Commodities. Journal of Economic Analysis; 2023, 2(1):18.
Chicago/Turabian Style
Teixeira Dias, Rui M.; Horta, Nicole R.; Chambino, Mariana 2023. "Portfolio rebalancing in times of stress: Capital markets vs. Commodities" Journal of Economic Analysis 2, no.1: 18.
APA style
Teixeira Dias, R. M., Horta, N. R., & Chambino, M. (2023). Portfolio rebalancing in times of stress: Capital markets vs. Commodities. Journal of Economic Analysis, 2(1), 18.

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