Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War

Author First name, Last name, Institution

Ghulame Rubbaniy, Bristol Business School
Ali Awais Khalid, University of Lahore
Konstantinos Syriopoulos, Zayed UniversityFollow
Efstathios Polyzos, Zayed UniversityFollow

Document Type

Article

Source of Publication

Journal of Futures Markets

Publication Date

1-1-2024

Abstract

We apply a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach on global assets to investigate time-varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID-19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID-19 and the Russia–Ukraine war and that cumulative returns of portfolios are higher during COVID-19. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.

DOI Link

10.1002/fut.22539

ISSN

0270-7314

Publisher

Wiley

Disciplines

Business

Keywords

COVID-19, dynamic connectedness, minimum connectedness, portfolio performance, Russia–Ukraine War

Scopus ID

85198910037

Recommended Citation

Rubbaniy, Ghulame; Khalid, Ali Awais; Syriopoulos, Konstantinos; and Polyzos, Efstathios, "Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID-19 Pandemic and the Russia–Ukraine War" (2024). All Works. 6599.
https://zuscholars.zu.ac.ae/works/6599

Indexed in Scopus

yes

Open Access

no