Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict.

Autor: Ben Amar A; Africa Business School, Mohammed VI Polytechnic University, Rabat, Morocco., Bouattour M; Excelia Business School & LGTO, University of Toulouse, France., Bellalah M; Laboratoire d'Economie, Finance, Management & Innovation - LEFMI [UR 4286], University of Picardie Jules Verne, Amiens, France., Goutte S; UMI SOURCE, Paris-Saclay University & Paris School of Business (PSB), Paris, France.
Jazyk: angličtina
Zdroj: Finance research letters [Financ Res Lett] 2023 Jul; Vol. 55, pp. 103853. Date of Electronic Publication: 2023 Apr 07.
DOI: 10.1016/j.frl.2023.103853
Abstrakt: Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal intensity. During the COVID-19 crisis period, the shift contagion analysis not only reveal a tripling of the causal links between the markets studied, but also a change in the causal structure. Beyond the initial impact of the COVID-19 crisis on financial markets, policy interventions seem to have helped in reassuring market participants that the further spread of financial stress would be mitigated. However, the Russian-Ukrainian conflict, and the high degree of uncertainty it entailed, has again exacerbated the interdependencies between financial markets. In terms of portfolio analysis, our minimum-causal-intensity approach records a lower (respectively higher) reward-to-volatility ratio than the Markowitz (1952 & 1959) minimum-variance traditional approach during the pre-COVID-19 (respectively pre-war) period. On the other hand, both approaches, the one we propose in this paper and the minimum-variance approach, record negative reward-to-volatility ratios during crisis periods.
Competing Interests: There is no conflict of interest.
(© 2023 Elsevier Inc. All rights reserved.)
Databáze: MEDLINE
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