International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Portfolio Risk Management in Oil, Gold, and Stock Markets Based on Dynamic Modeling and Targeted Risk Hedging

Document Type : Original Article

Authors
Mehdi Zare Kasgari 1
Seyed Yousef Ahadi Sarkani 2
Seyed Mohammad Hasheminejad 3
Abdolmajid Dehghan 4
1 PhD student, Department of Financial Engineering, Firouzkouh Branch, Islamic Azad University, Firouzkouh, Iran
2 Associate Professor Accounting Department, Firouzkooh Branch, Islamic Azad University, Firouzkooh, Iran.
3 Assistant Professor Department of Management, Medical Sciences, Islamic Azad University, Tehran, Iran.
4 Assistant Professor Department of Management, Yadegar Imam Khomeini Branch, Islamic Azad University, Tehran, Iran.
10.22034/ijfma.2025.78661.2287
Abstract
In recent years, financial markets particularly oil, gold, and stock markets have faced significant structural shifts and regime changes, intensifying risk spillovers and creating challenges for investors and policymakers in their decision-making processes. This study aims to enhance risk management and optimize investment portfolios by exploring the dynamic nature of risk transmission and developing effective hedging strategies over the period 2016–2023. To achieve this, a comprehensive hybrid framework is employed, integrating the Markov-Switching Vector Autoregression (MS-VAR) model, the Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) model, and the Conditional Dynamic Correlation (cDCC) model. This combination allows for a more accurate examination of inter-market dependencies. The findings reveal that the degree of risk spillover varies across different regimes and intensifies notably during turbulent periods, leading to stronger correlations among markets. Moreover, the influence of oil and gold prices on the stock market index exhibits an unstable pattern, heavily shaped by political and economic conditions. Overall, the proposed hybrid model outperforms traditional approaches in detecting risk spillovers and formulating effective risk-hedging strategies, contributing to improved portfolio performance in volatile market conditions.
Keywords
Risk Spillover
Hedging Strategy
Portfolio Optimization
Oil Market
Gold Market
Stock Market
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