Are Timber and Water Investments Safe-Havens? A Volatility Spillover Approach and Portfolio Hedging Strategies for Investors

Author First name, Last name, Institution

Aristeidis Samitas, Zayed University; University of the Aegean
Spyros Papathanasiou, National and Kapodistrian University of Athens
Drosos Koutsokostas, National and Kapodistrian University of Athens
Elias Kampouris, Abu Dhabi University

Document Type

Article

Source of Publication

Finance Research Letters

Publication Date

1-1-2022

Abstract

Using a time-varying spillover approach, we investigate volatility spillovers between natural alternative investments, i.e. timber and water, and a battery of traditional instruments comprising equities, bonds, crude oil, gold, real estate, shipping and currency, for the period 1/1/2010-9/30/2021. Results show that the sample markets are moderately integrated and total connectedness escalated during stress periods. Moreover, we examine the hedging ability of timber and water by constructing optimal hedge ratios and portfolio weights. Both assets constitute an effective hedging tool for shipping, crude oil and bond investors, with the short position in the volatility of water to provide higher hedging effectiveness.

DOI Link

10.1016/j.frl.2021.102657

ISSN

1544-6131

Publisher

Elsevier

Disciplines

Business

Keywords

Alternative investments, Connectedness, Timber water investments, COVID-19, Portfolio diversification

Scopus ID

85122433175

Recommended Citation

Samitas, Aristeidis; Papathanasiou, Spyros; Koutsokostas, Drosos; and Kampouris, Elias, "Are Timber and Water Investments Safe-Havens? A Volatility Spillover Approach and Portfolio Hedging Strategies for Investors" (2022). All Works. 4772.
https://zuscholars.zu.ac.ae/works/4772

Indexed in Scopus

yes

Open Access

no