评估标准普尔500指数基金、黄金和石油市场之间的市场低迷连通性

IF 2.3 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2025-06-04 DOI:10.1002/fut.22608

Waheed Ullah Shah, Ibtissem Missaoui, Ijaz Younis, Xiyu Liu

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引用次数: 0

摘要

本研究评估了在2019冠状病毒病大流行和俄罗斯-乌克兰战争期间标准普尔500指数基金与实时市场（黄金和WTI）之间的市场低迷连通性。使用tpv - var方法，我们探讨了两次危机期间这些市场之间的显著联系。标准普尔500指数基金（道富标准普尔500指数基金N类）是系统中的净风险溢出接收者，而标准普尔500指数基金（所有其他基金）在2019冠状病毒病和俄罗斯-乌克兰战争期间是重要的波动溢出发射器。此外，黄金和西德克萨斯中质原油在两场危机中都有净风险溢出效应。然而，在新冠疫情和俄乌战争中，所有标准普尔500指数基金也与实时市场（黄金和WTI）进行了广泛的成对联系。本研究为这些市场的股东、交易员、投机者和投资组合经理提供了潜在的投资见解。

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Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets

This study evaluates the market downturn connectedness between S&P 500 index funds and real-time markets (gold and WTI) during the COVID-19 pandemic and the Russia-Ukraine wars. Using the TVP-VAR approach, we explored the significant connectedness among these markets during both crisis episodes. The S&P 500 Index Fund (State Street S&P 500 Index Fund Class N) is the net risk spillover receiver in the system, whereas S&P 500 Index funds (all others) are significant volatility spillover transmitters during the COVID-19 and Russia-Ukraine wars. Furthermore, gold and WTI receive net risk spillovers in both crises. However, all S&P 500 index funds are also pairwise and extensively connected with real-time markets (gold and WTI) in the COVID-19 and Russia-Ukraine wars. This study offers potential investment insights for shareholders, traders, speculators, and portfolio managers in these markets.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

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.