Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia-Ukraine War

被引：1

作者：

Rubbaniy, Ghulame ^{[1
]}

Khalid, Ali Awais ^{[2
]}

Syriopoulos, Konstantinos ^{[3
]}

Polyzos, Efstathios ^{[3
]}

机构：

[1] Univ West England, Bristol Business Sch, Bristol, England

[2] Univ Lahore, Lahore Business Sch, Lahore, Pakistan

[3] Zayed Univ, Abu Dhabi, U Arab Emirates

来源：

JOURNAL OF FUTURES MARKETS | 2024年 / 44卷 / 10期

关键词：

COVID-19; dynamic connectedness; minimum connectedness; portfolio performance; Russia-Ukraine War; IMPULSE-RESPONSE ANALYSIS; EFFICIENT TESTS; VOLATILITY; MARKETS;

D O I：

10.1002/fut.22539

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We apply a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach on global assets to investigate time-varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID-19 and the Russia-Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID-19 and the Russia-Ukraine war and that cumulative returns of portfolios are higher during COVID-19. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.

引用

页码：1613 / 1639

页数：27

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