Hedging with financial innovations in the Asia-Pacific markets during the COVID-19 pandemic: the role of precious metals
| Autor: | Afees A. Salisu, Abdulsalam Abidemi Sikiru |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Finance
T57-57.97 Applied mathematics. Quantitative methods Financial innovation Coronavirus disease 2019 (COVID-19) Exploit etfs business.industry Equity (finance) precious metals General Medicine hedge Investment (macroeconomics) financial innovation asia pacific equity market HG1-9999 Pandemic Portfolio business Hedge (finance) |
| Zdroj: | Quantitative Finance and Economics, Vol 5, Iss 2, Pp 352-372 (2021) |
| ISSN: | 2573-0134 |
| Popis: | In this study, we exploit the information contained in financial innovations in precious metals for hedging the risks associated with the Asia-Pacific equities during the current pandemic. We measure financial innovations as exchange traded funds (ETFs) for gold, silver, platinum and palladium which contrast with investment in the physical precious metals since the former tracks well the prices of the latter and as well provides cost-effective alternative to invest in the markets without storage costs. Based on the optimal portfolio weights and optimal hedge ratios, we find that gold offers the best hedge (followed by silver, platinum, and palladium) against the risk associated with the Asia-Pacific equities during the COVID-19 pandemic albeit with a lower hedging effectiveness during the pandemic. Overall, including gold ETFs in an Asia-Pacific equity portfolio would provide both a valuable portfolio combination that could improve the risk-adjusted performance of the market in addition to serving as an effective hedge for equity-related risks. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|