商品 ETF 的风险溢出效应和最优对冲：TVP-VAR 方法

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-10-28 DOI:10.1016/j.frl.2024.106372

Elroi Hadad , Davinder Malhotra , Evangelos Vasileiou

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引用次数: 0

摘要

尽管商品交易所交易基金（ETF）越来越受欢迎，但对其风险传递动态的研究却很缺乏。本研究采用时变参数向量自回归（TVP-VAR）模型，分析在 COVID-19 大流行病和地缘政治冲突等重大事件期间商品 ETF 之间的波动传递。其目的是利用均值同斜最优投资组合（MCoP）技术最大限度地减少 ETF 之间的相互关联性，从而降低相关风险。研究结果强调了投资组合管理中适应性的重要性，并为投资者在动态市场环境中寻求优化配置和有效管理风险敞口提供了可操作的信息。

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Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach

Despite the growing popularity of commodity exchange traded funds (ETFs), research on their risk transmission dynamics is lacking. The study employs a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model to analyze volatility transmission among commodity ETFs during significant events like the COVID-19 pandemic and geopolitical conflicts. It aims to minimize interconnectedness among ETFs to reduce associated risk using the Mean Co-skewness optimal portfolio (MCoP) technique. The findings emphasize the importance of adaptability in portfolio management and provide actionable information for investors seeking to optimize allocation and manage risk exposure effectively in dynamic market environments.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance