Hedging strategy for financial variables and commodities

被引：0
|
作者：
Abid, Ilyes [1 ]
Dhaoui, Abderrazak [2 ,3 ]
Guesmi, Khaled [4 ,5 ]
Kaabia, Olfa [6 ]
机构：
[1] ISC Business Sch Paris, Paris, France
[2] Univ Sousse, IHEC, LaREMFiQ, Sousse, Tunisia
[3] Univ Sousse, Ipag Business Sch, Sousse, Tunisia
[4] Paris Sch Business, Paris, France
[5] CRECC, Paris, France
[6] INSEEC U, INSEEC Grande Ecole Paris, Paris, France
来源：
ECONOMICS BULLETIN | 2020年 / 40卷 / 02期
关键词：
SAFE HAVEN; VOLATILITY SPILLOVERS; GOLD; STOCK; BONDS; OIL; MARKETS; TIME;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oil prices, the VIX index, gold prices, bond prices, and CDS spreads are considered. The Dynamic Multivariate GARCH is used to estimate the hedge ratios by separate and complex hedge types from December 2007 to June 2018. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the commodities prices sensitivity to financial variables. The results show that gold and CDS provide higher hedging effectiveness against equity market losses. Negative correlations between the equity market and VIX are particularly notable, suggesting the economic benefits of diversification.
引用
收藏
页码：1368 / 1379
页数：13
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