Ghulame Rubbaniy, Ali Awais Khalid, Konstantinos Syriopoulos, Efstathios Polyzos
{"title":"Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War","authors":"Ghulame Rubbaniy, Ali Awais Khalid, Konstantinos Syriopoulos, Efstathios Polyzos","doi":"10.1002/fut.22539","DOIUrl":null,"url":null,"abstract":"<div>\n \n <p>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.</p>\n </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 10","pages":"1613-1639"},"PeriodicalIF":1.8000,"publicationDate":"2024-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22539","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
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.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
