2. Publicaciones

URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068

Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional

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Mostrando 1 - 3 de 3
  • Miniatura
    ÍtemSolo Metadatos
    Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic
    (Universidad ESAN. ESAN Ediciones, 2024-03-30) Lamine, Ahlem; Jeribi, Ahmed; Fakhfakh, Tarek
    Purpose: This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers. Design/methodology/approach: The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation. Findings: Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors. Originality/value: The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.
  • Miniatura
    ÍtemSolo Metadatos
    Haciendo viable la minería peruana: el caso de minería Gold Land
    (Universidad ESAN. ESAN Ediciones, 2007-06-30) Centeno Rojas, Adolfo
    Although mining is at present a signifi cant source of foreign currency fl ows to Peru, it went through times of crisis when metal quotations dropped. Many international mining majors weathered the crises with the fi nancial backing of their parent companies or fi nancial multilaterals, and their operative economies of scale. In the wake of the crisis, some small and intermediate mining companies closed their operations, leaving behind a negative impact of their communities and a degraded environment. Yet, other companies, thanks to the commitment of their shareholders, workers and local banks, introduced a number of initiatives to negotiate the crisis. The story of Gold Land Mining illustrates the case of those companies that managed to survive during very dire times.
  • Miniatura
    ÍtemSolo Metadatos
    Valorización de opciones reales: modelo Ornstein-Uhlenbeck
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Tresierra Tanaka, Álvaro; Carrasco Montero, Claudia Marilia
    This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the behaviour of gold prices, for the specific case of Peru, using historic prices and based on the commodity prices process. The Ornstein-Uhlenbeck model has been used for this. The main result is that to evaluate projects using the real options approach allows to evaluate –in their real magnitude– the financial benefits associated with an investment project, as it takes into account the trinomial of profitability-risk-flexibility. The assessment method using real options makes it possible to structure strategic thinking.