Nicole Horta – ESCE, Instituto Politécnico de Setúbal, Portugal

Mariana Chambino – ESCE, Instituto Politécnico de Setúbal, Portugal

Rui Dias – ESCE, Instituto Politécnico de Setúbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

Capital markets;
Financial integration;
Portfolio diversification


Abstract: The purpose of this paper is to estimate whether portfolio diversifi­cation is feasible in the capital markets of the Netherlands (AEX), France (CAC 40), Germany (DAX 30), Canada (FTSE 100), Italy (FTSE MIB), Spain (IBEX 35), Russia (IMOEX), and the commodities oil (WTI), silver (XAG), gold (XAU), and platinum (XPT) from January 1st, 2018, to December 31st, 2022. The goal of this analysis is to answer the following question, namely to know if: i) the 2020 and 2022 events accentuated the integration between capital markets and commodities (WTI), silver (XAG), gold (XAU), and platinum (XPT)? The results show that during the Tranquil period, the markets present 41 integrations (in 110 possible), with the French price index (CAC 40) integrating the most with its peers, with 8 integrations (in 10 possible), while the commodities markets present the lowest integrations, with silver (XAG) presenting the most relevant number of integrations (2 in 10 possible) and platinum (XPT) showing only 1 integration (in 10 possible). Oil (WTI) and gold (XAU) have not integrated with any of their peers during this period of tranquillity. During the period of the 2020 and 2022 events, there were 60 integrations in 110 possible. According to the results and when compared to the previous sub-period, the capital mar­kets maintained/decreased the same number of integrations with their peers. Silver (XAG) and platinum (XPT) also showed an increase in the number of in­tegrations. XAG exhibited 5 integrations (out of a possible 10), whereas plat­inum (XPT) had 7 integrations (out of 10 possible). Gold (XAU) was the only commodity that remained completely segmented from both the capital mar­kets and the commodities under consideration. To answer the diversification question, there is evidence that the gold market (XAU) exhibits safe-haven characteristics during the 2020 and 2022 events; these findings are relevant for individual and institutional investors operating in these financial markets.

Download full paper

7th International Scientific Conference – EMAN 2023 – Economics and Management: How to Cope With Disrupted Times, Ljubljana, Slovenia, March 23, 2023, CONFERENCE PROCEEDINGS, published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-69-1, ISSN 2683-4510, DOI:

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

Suggested citation
Horta, N., Chambino, M., & Dias, R. (2023). Rebalancing Portfolios in Periods of Stress in the Global Economy: Capital Markets vs. WTI, XAU, XAG, XPT. In V. Bevanda (Ed.), International Scientific Conference – EMAN 2023: Vol 7. Conference Proceedings (pp. 87-100). Association of Economists and Managers of the Balkans.


Bagão, M., Dias, R., Heliodoro, P., & Alexandre, P. (2020). the Impact of Covid-19 on Europe­an Financial Markets: an Empirical Analysis. 6th LIMEN Conference Proceedings (Part of LIMEN Conference Collection), 6, 1–11.

Breitung, J. (2000). The local power of some unit root tests for panel data. Advances in Econo­metrics, 15.

Dias, R., Alexandre, P., Heliodoro, P., Santos, H., Farinha, A. R., & Santos, M. C. (2021). The 2020 Oil Price War Has Increased Integration Between G7 Stock Markets and Crude Oil WTI. 7th ERAZ Selected Papers (Part of ERAZ Conference Collection), 13–25.

Dias, R., da Silva, J. V., & Dionísio, A. (2019). Financial markets of the LAC region: Does the crisis influence the financial integration? International Review of Financial Analysis, 63(March), 160–173.

Dias, R., Heliodoro, P., Alexandre, P., & Vasco, C. (2020a). The shocks between oil market to the bric stock markets: A generalized VAR approach. 25–31.

Dias, R., Heliodoro, P., Alexandre, P., & Vasco, C. (2020b). Financial Market Integration of Ase­an-5 with China: An Econophysics Approach. 4th EMAN Conference Proceedings (Part of EMAN Conference Collection), 17–23.

Dias, R., Pardal, P., Teixeira, N., & Horta, N. (2022). Tail Risk and Return Predictability for Eu­rope’s Capital Markets: An Approach in Periods of the 2020 and 2022 Crises. 

Dias, R. T., & Carvalho, L. (2021). The Relationship Between Gold and Stock Markets During the COVID-19 Pandemic. May, 462–475.

Dunis, C., Sermpinis, G., & Karampelia, M. F. (2013). Stock market linkages among new EMU members and the euro area: Implications for financial integration and portfolio di­versification. Studies in Economics and Finance, 30(4), 370–388.

Gregory, A. W., & Hansen, B. E. (1996a). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.

Gregory, A. W., & Hansen, B. E. (1996b). Tests for cointegration in models with regime and trend shifts. Oxford Bulletin of Economics and Statistics, 58(2), 555–560.

Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Jour­nal.

Heliodoro, P., Dias, R., Alexandre, P., & Vasco, C. (2020). Integration in Bric Stock Markets: An Empirical Analysis. 4th EMAN Selected Papers (Part of EMAN Conference Collection).

Horvath, R., & Petrovski, D. (2012). International Stock Market Integration: Central and South Eastern Europe Compared. SSRN Electronic Journal.

Jarque, C. M., & Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and se­rial independence of regression residuals. Economics Letters, 6(3).  

Pardal, P., Dias, R., Šuleř, P., Teixeira, N., & Krulický, T. (2020). Integration in Central Euro­pean capital markets in the context of the global COVID-19 pandemic. 15(4).  

Pardal, P., Dias, R., Teixeira, N., & Horta, N. (2022). The Effects of Russia ’ s 2022 Invasion of Ukraine on Global Markets : An Analysis of Particular Capital and Foreign Exchange Markets. 

Pardal, P., Dias, R. T., Santos, H., & Vasco, C. (2021). Central European Banking Sector Inte­gration and Shocks During the Global Pandemic (COVID-19). June, 272–288. 

Park, C. Y., & Lee, J. W. (2011). Financial integration in emerging Asia: Challenges and pros­pects. Asian Economic Policy Review, 6(2). 

Revez, C., Dias, R., Horta, N., Heliodoro, P., & Alexandre, P. (2022). Capital Market Efficien­cy in Asia: An Empirical Analysis. 6th EMAN Selected Papers (Part of EMAN Conference Collection), 49–57. 

Santos, H., Dias, R., Vasco, C., Alexandre, P., & Heliodoro, P. (2021). Has the Global Pan­demic of 2020 Led To Persistence in the Share Prices of Large Global Companies? 5th EMAN Selected Papers (Part of EMAN Conference Collection), October, 1–15. 

Silva, R., Dias, R., Heliodoro, P., & Alexandre, P. (2020). Risk Diversification in Asean-5 Fi­nancial Markets: an Empirical Analysis in the Context of the Global Pandemic (Covid-19). 6th LIMEN Selected Papers (Part of LIMEN Conference Collection), 6, 15–26.  

Teixeira, N., Dias, R., & Pardal, P. (2022). The gold market as a safe haven when stock markets exhibit pronounced levels of risk : evidence during the China crisis and the COVID-19 pandemic. April, 27–42.

Teixeira, N., Dias, R., Pardal, P., & Horta, N. (2022). Financial Integration and Comovements Between Capital Markets and Oil Markets : An Approach During the Russian. December. 

Teng, K. T., Yen, S. H., Chua, S. Y., & Lean, H. H. (2014). Financial Market Integration of ASE­AN-5 with China and India. In Emerging Markets and the Global Economy: A Handbook. 

Share this

Association of Economists and Managers of the Balkans – UdEkoM Balkan
179 Ustanicka St, 11000 Belgrade, Serbia

Udekom Balkans is a dynamic non-governmental and non-profit organization, established in 2014 with a mission to foster the growth of scientific knowledge within the Balkan region and beyond. Our primary objectives include advancing the fields of management and economics, as well as providing educational resources to our members and the wider public.

Who We Are: Our members include esteemed university professors from various scientific disciplines, postgraduate students, and experts from ministries, public administrations, private and public enterprises, multinational corporations, associations, and similar organizations.

Building Bridges Together: Over the course of nine years since our establishment, the Association of Economists and Managers of the Balkans has established impactful partnerships with more than 1,000 diverse institutions across the Balkan region and worldwide.

EMAN conference publications are licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.