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The Journal of Wealth Management

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The Dow Jones Precious Metals
Index and Global Markets

Manu Sharma, Payal Dey and Rajnish Aggarwal
The Journal of Wealth Management Summer 2013, 16 (1) 91-96; DOI: https://doi.org/10.3905/jwm.2013.16.1.091
Manu Sharma
is an assistant professor at Panjab University in Chandigarh, India.
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  • For correspondence: dif.manu@yahoo.com
Payal Dey
works in the Infrastructure & Public-Private Partnership (PPP) Division for the Planning Commission of India in New Delhi, India.
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  • For correspondence: payal.dey@gmail.com
Rajnish Aggarwal
is an MBA student at Panjab University in Punjab, India.
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  • For correspondence: aggarwalrajnish@gmail.com
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Abstract

The study investigated the relationship between the Dow Jones Precious Metal Index (DJGSP) and market indexes of the largest economies of the world, which included the U.S., the U.K., Germany, Sweden, Spain, Brazil, Hong Kong, Australia, Norway, and Canada for the five-year period from April 2007 to April 2012. The multiple correlation coefficient and coefficient of determination (CoD) were calculated to study this relationship. The multiple correlation coefficient measured the relationship between the DJGSP and market indexes, while the CoD indicated the percentage of the variation in the DJGSP that can be explained and accounted for by the market indexes in the regression equation. The multiple regression analysis was performed to study the effect of 10 market indexes on the movement of DJGSP. Results implied that market indexes of 7 out of 10 economies, when used together, better predicted the movements in the DJGSP. It was also found that, when individual market indexes were regressed with DJGSP, the DJGSP was highly correlated with Brazil’s market index and was least correlated with the U.S. market index. As the precious metals index has a very high regression coefficient relative to equity indexes of different economics, the precious metals should not be used to diversify global equity portfolios.

TOPICS: Commodities, statistical methods, global, portfolio construction

  • © 2013 Pageant Media Ltd
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The Journal of Wealth Management: 16 (1)
The Journal of Wealth Management
Vol. 16, Issue 1
Summer 2013
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The Dow Jones Precious Metals
Index and Global Markets
Manu Sharma, Payal Dey, Rajnish Aggarwal
The Journal of Wealth Management Apr 2013, 16 (1) 91-96; DOI: 10.3905/jwm.2013.16.1.091

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The Dow Jones Precious Metals
Index and Global Markets
Manu Sharma, Payal Dey, Rajnish Aggarwal
The Journal of Wealth Management Apr 2013, 16 (1) 91-96; DOI: 10.3905/jwm.2013.16.1.091
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    • A COMPARISON OF DJGSP AND MARKET INDEXES
    • METHODOLOGY
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