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
收藏
页码：1613 / 1639
页数：27
相关论文
共 50 条
  • [41] Suicide trends in Germany during the COVID-19 pandemic and the war in Ukraine
    Holz, F.
    Schlang, C.
    Beig, I
    Dichter, V
    Hauschild, N.
    Kersten, S.
    Kettner, M.
    Chabiera, P. J.
    Birngruber, C. G.
    Verhoff, M. A.
    Koelzer, S. C.
    PSYCHIATRY RESEARCH, 2024, 333
  • [42] COVID-19 pandemic, Russia-Ukraine conflict and shale gas development: Evidence from fractional integration
    Solarin, Sakiru Adebola
    Lafuente, Carmen
    Gil-Alana, Luis A.
    Goenechea, Maria
    HELIYON, 2024, 10 (07)
  • [43] Changes in World Corn Shipping Pattern under the Background of COVID-19 Pandemic and Russia-Ukraine Conflict
    Zhao, Pengjun
    Yin, Zhaoyou
    Zhang, Mengzhu
    Niu, Yingnan
    He, Zhangyuan
    Beijing Daxue Xuebao (Ziran Kexue Ban)/Acta Scientiarum Naturalium Universitatis Pekinensis, 2024, 60 (06): : 1094 - 1106
  • [44] Adolescent Connectedness During the COVID-19 Pandemic
    Christie, Melissa
    Froh, Elizabeth B.
    Kropp, Cynthia M.
    JOURNAL OF PEDIATRIC HEALTH CARE, 2024, 38 (05) : 781 - 782
  • [45] The Russia-Ukraine war could bring catastrophic public-health challenges beyond COVID-19
    Ramirez, Celeo
    Duron, Reyna M.
    INTERNATIONAL JOURNAL OF INFECTIOUS DISEASES, 2022, 120 : 44 - 45
  • [46] The Rising Impacts of the COVID-19 Pandemic and the Russia-Ukraine War: Energy Transition, Climate Justice, Global Inequality, and Supply Chain Disruption
    Allam, Zaheer
    Bibri, Simon Elias
    Sharpe, Samantha A.
    RESOURCES-BASEL, 2022, 11 (11):
  • [47] Higher-order contagion effects in Russian fuel export markets: Evidence from COVID-19 pandemic and Russia-Ukraine war
    Xue, Jeff Yunze
    Hsiao, Cody Yu-Ling
    Li, Pengyang
    Chui, Chin Man
    ENERGY STRATEGY REVIEWS, 2024, 53
  • [48] On the Dynamic Changes in the Global Stock Markets' Network during the Russia-Ukraine War
    Zaheer, Kashif
    Aslam, Faheem
    Mohmand, Yasir Tariq
    Ferreira, Paulo
    ECONOMIES, 2024, 12 (02)
  • [49] Are interconnectedness and spillover alike across green sectors during the COVID-19 and the Russia-Ukraine conflict?
    Hanif, Waqas
    El Khoury, Rim
    Arfaoui, Nadia
    Hammoudeh, Shawkat
    ENERGY ECONOMICS, 2025, 144
  • [50] The dynamic network connectedness and hedging strategies across stock markets and commodities: COVID-19 pandemic effect
    Mezghani, Taicir
    Ben Hamadou, Fatma
    Abbes, Mouna Boujelbene
    ASIA-PACIFIC JOURNAL OF BUSINESS ADMINISTRATION, 2021, 13 (04) : 520 - 552
12345