COVID-19 pandemic and financial innovations.

Autor: Salisu AA; Centre for Econometrics and Applied Research, Ibadan, Nigeria.; Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028 South Africa., Sikiru AA; Monetary Policy Department, Central Bank of Nigeria, Abuja, Nigeria., Omoke PC; Department of Economics and Development Studies, Alex Ekwueme Federal University, Ndufu Alike Ikwo, Ebonyi State Nigeria.
Jazyk: angličtina
Zdroj: Quality & quantity [Qual Quant] 2022 Oct 06, pp. 1-20. Date of Electronic Publication: 2022 Oct 06.
DOI: 10.1007/s11135-022-01540-4
Abstrakt: This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations captured in exchange traded funds (ETFs). We explore the hedging effectiveness of sectoral ETFs along with a battery of robustness measures. Following the predictability analyses, we find that financial innovations captured in ETFs can effectively hedge both pandemic-induced and financially engineered market risks especially after controlling for the role of oil price in the predictive model. Our model provides better in-sample and out-of-sample forecasting accuracy and economic gains than the benchmark model and this is more pronounced for the COVID-19 pandemic period.
Competing Interests: Conflict of interestThe authors have no conflict of interest to declare.
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Databáze: MEDLINE
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