Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1927787
Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak
Imran Yousaf
Shoaib Ali
Elie Bouri
Tareq Saeed
Sažetak
This study uses hourly data to analyse the return and volatility
transmission of oil-gold and oil-Bitcoin pairs during the preCOVID-19 and COVID-19 periods. The results show that the return
transmissions vary across the two periods for both pairs. There is
a unidirectional volatility spill-over from gold to oil in the preCOVID-19 period, and from oil to gold during the COVID-19
period. There is a significant volatility spill-over from Bitcoin to oil
during the pre-COVID-19 period, whereas no evidence of volatility
spill-over between oil and Bitcoin is shown during the COVID-19
period. Based on optimal weights, investors should increase their
investments in, (a) gold for a portfolio of oil-gold, and (b) Bitcoin
for a portfolio of oil-Bitcoin during the COVID-19 period. All
hedge ratios are higher during the COVID-19 period, implying a
higher hedging cost compared to the pre-COVID-19 period. The
results of hedging effectiveness reveal that the risk-adjusted
returns can be improved by constructing a portfolio of oil-gold
and oil-Bitcoin during both sample periods. Further results reveal
that gold is a strong safe haven and a hedge for the oil market,
while Bitcoin serves as a diversifier for the oil market during the
COVID-19 period.
Ključne riječi
Crude oil; gold; Bitcoin; return and volatility spillovers; hedging effectiveness; safe haven; COVID-19
Hrčak ID:
302243
URI
Datum izdavanja:
31.3.2023.
Posjeta: 597 *