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

共 50 条

[31] Diversification, hedge, and safe-haven properties of gold and bitcoin with portfolio implications during the Russia-Ukraine war
Ustaoglu, Erkan
RESOURCES POLICY, 2023, 84
[32] Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war
Batten, Jonathan A.
Boubaker, Sabri
Kinateder, Harald
Choudhury, Tonmoy
Wagner, Niklas F.
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2023, 215 : 325 - 350
[33] Accessing to a "Truer Truth": Conspiracy and Figurative Reasoning From Covid-19 to the Russia-Ukraine War
Terracciano, Bianca
MEDIA AND COMMUNICATION, 2023, 11 (02): : 64 - 75
[34] Safe haven property of gold and cryptocurrencies during COVID-19 and Russia-Ukraine conflict
BenSaida, Ahmed
ANNALS OF OPERATIONS RESEARCH, 2023,
[35] ASSESSING THE IMPACT OF THE RUSSIA-UKRAINE WAR AND COVID-19 ON SELECTED EUROPEAN CURRENCIES AND KEY COMMODITIES
Aliu, Florin
Apanovych, Yelyzaveta
Bajra, Ujkan
Nuhiu, Artor
JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT, 2024, 25 (05) : 1097 - 1119
[36] An investigation on dynamic connectedness of commodity market with financial market during the Russia-Ukraine invasion
Malhotra, Gaytri
Yadav, Miklesh Prasad
Tandon, Priyanka
Sinha, Neena
BENCHMARKING-AN INTERNATIONAL JOURNAL, 2024, 31 (02) : 439 - 465
[37] A wavelet analysis of dynamic connectedness between geopolitical risk and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts
Ha, Le Thanh
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2023, 31 (12) : 17994 - 18009
[38] A wavelet analysis of dynamic connectedness between geopolitical risk and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts
Le Thanh Ha
Environmental Science and Pollution Research, 2024, 31 : 17994 - 18009
[39] Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments
Cui, Jinxin
Maghyereh, Aktham
Liao, Dijia
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 95
[40] Suicide trends in Germany during the COVID-19 pandemic and the war in Ukraine
Radeloff, Daniel
Papsdorf, Rainer
White, Lars
Genuneit, Jon
PSYCHIATRY RESEARCH, 2023, 330

← 1 2 3 4 5 →