文章基本信息

标题：Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management
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作者：Yousfi, Mohamed ; Dhaoui, Abderrazak ; Bouzgarrou, Houssam 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2021
卷号：14
期号：5
页码：1-29
DOI：10.3390/jrfm14050222
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfolio managers and investors to reduce their exposure to the risk in their portfolio construction.
关键词：COVID-19; hedging; Bitcoin; Islamic indices; dynamic conditional correlation