The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2023-07-16 DOI:10.1177/03128962231184658

Spyros Papathanasiou, D. Vasiliou, Anastasios Magoutas, Drosos Koutsokostas

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引用次数: 1

Abstract

In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a spillover framework. For this objective, we apply the enhanced modification of the Diebold and Yilmaz approach for the period 1 January 2010 to 31 January 2023. The empirical findings indicate a modest degree of connectedness among the investigated markets, whereas volatility spillovers showed acceleration during tumultuous periods. In addition, we assess the capacity of private equities for hedging, for the whole sample period and during COVID-19 infectious disease, in order to suggest investors for potential portfolio restructures. Results demonstrate that the short position in the volatility of private equity ETF can result in strong hedging effectiveness for investors holding long positions in Bitcoin, shipping, bonds, and crude oil. JEL Classification: C32, C58, G11, G15

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私募股权与其他高需求金融资产之间的动态联系:2019冠状病毒病期间的投资组合对冲策略

鉴于投资组合多元化的必要性，我们在溢出框架内调查了私募股权ETF与一系列高需求资产类别之间的相互联系，包括债券、股票、原油、黄金、大宗商品、货币、比特币和航运。为此，我们在2010年1月1日至2023年1月31日期间对Diebold和Yilmaz方法进行了改进。实证结果表明，所调查的市场之间存在适度的联系，而波动溢出在动荡时期表现出加速。此外，我们评估了整个样本期和新冠肺炎传染病期间私募股权的套期保值能力，以建议投资者进行潜在的投资组合重组。结果表明，私募股权ETF波动性中的空头头寸可以为持有比特币、航运、债券和原油多头头寸的投资者带来强大的对冲效果。JEL分类：C32、C58、G11、G15

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来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.