Hedging and diversification across commodity assets
| Autor: | Ilyes Abid, Khaled Guesmi, Stéphane Goutte, Abderrazak Dhaoui |
|---|---|
| Přispěvatelé: | Institut Supérieur du Commerce de Paris (ISC Paris), Université de Sousse, Centre d'études sur la mondialisation, les conflits, les territoires et les vulnérabilités (Cemotev), Université de Versailles Saint-Quentin-en-Yvelines (UVSQ) |
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Volatility index
Economics and Econometrics hedging diversification 050208 finance [QFIN]Quantitative Finance [q-fin] Autoregressive conditional heteroskedasticity 05 social sciences Equity (finance) Diversification (finance) Volatility spillover GARCH models Monetary economics JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading multivariate 0502 economics and business Economics JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets 050207 economics commodities Equity markets JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates |
| Zdroj: | Applied Economics Applied Economics, Taylor & Francis (Routledge), 2019, pp.1-21. ⟨10.1080/00036846.2019.1693016⟩ |
| ISSN: | 0003-6846 1466-4283 |
| DOI: | 10.1080/00036846.2019.1693016⟩ |
| Popis: | International audience; We investigate the conditional cross effects and volatility spillover between equity markets and commodity markets (oil and gold), Fama and French HML and SMB factors, volatility index (VIX) and bonds using different multivariate GARCH specifications considering the potential asymmetry and persistence behaviours. We analyse the dynamic conditional correlation between the US equity market and a set of commodity prices and risk factors to forecast the transmission of shock to the equity market firstly, and to determine and compare the optimal hedge ratios from the different models based on the hedging effectiveness of each model. Our findings suggest that all models confirm the significant returns and volatility spillovers. More importantly, we find that GO-GARCH is the best-fit model for modelling the joint dynamics of different financial variables. The results of the current study have implications for investors: (i) the equity market displays inverted dynamics with the volatility index suggesting strong evidence of diversification benefit; (ii) of the hedging assets gold appears the best hedge for the US equity market as it has a higher hedge effectiveness than oil and bonds over time; and (iii) despite these important results, a better hedge may be obtained by using well-selected firm sized and profitability-based portfolios. |
| Databáze: | OpenAIRE |
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