All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Ilyes Abid, Abderrazak Dhaoui, Khaled Guesmi and Olfa Kaabia
 
''Hedging strategy for financial variables and commodities''
( 2020, Vol. 40 No.2 )
 
 
This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oil prices, the VIX index, gold prices, bond prices, and CDS spreads are considered. The Dynamic Multivariate GARCH is used to estimate the hedge ratios by separate and complex hedge types from December 2007 to June 2018. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the commodities prices sensitivity to financial variables. The results show that gold and CDS provide higher hedging effectiveness against equity market losses. Negative correlations between the equity market and VIX are particularly notable, suggesting the economic benefits of diversification.
 
 
Keywords: Equity markets, CDS, Gold, Crude Oil, VIX, Hedging, Dynamic correlations, GARCH models.
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
G2 - Financial Institutions and Services: General
 
Manuscript Received : May 04 2020 Manuscript Accepted : May 19 2020

  This abstract has been downloaded 151 times                The Full PDF of this paper has been downloaded 113513 times