Are Timber and Water Investments Safe-Havens? A Volatility Spillover Approach and Portfolio Hedging Strategies for Investors
Source of Publication
Finance Research Letters
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.
Alternative investments, Connectedness, Timber water investments, COVID-19, Portfolio diversification
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.
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