The hedge asset for BRICS stock markets: Bitcoin, gold or VIX

被引：69
|
作者：
Shahzad, Syed Jawad Hussain [1 ,2 ]
Bouri, Elie [3 ]
Rehman, Mobeen Ur [1 ,4 ]
Roubaud, David [1 ]
机构：
[1] Univ Montpellier, Montpellier Business Sch, Montpellier Res Management, Montpellier, France
[2] South Ural State Univ, Chelyabinsk, Russia
[3] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon
[4] Shaheed Zulfikar Ali Bhutto Inst Sci & Technol SZ, Islamabad, Pakistan
来源：
WORLD ECONOMY | 2022年 / 45卷 / 01期
关键词：
bitcoin; BRICS stock markets; COVID-19; gold; hedge; US VIX futures; SAFE HAVEN; DIRECTIONAL PREDICTABILITY; TIME-SERIES; DIVERSIFICATION; DEPENDENCE; COVID-19; RETURN;
D O I：
10.1111/twec.13138
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross-quantilogram approach indicate that bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of bitcoin, gold and VIX futures has a time-varying hedging role in some BRICS countries, which has been shaped by the COVID-19 outbreak. Results from the conditional diversification benefits show appealing roles for the three alternative assets for investors in BRICS stock markets. However, gold appears to have higher and more stable diversification benefits in China, especially during the COVID-19 outbreak. Conversely, VIX futures offer higher diversification benefits in Brazil, Russia, India and South Africa during the abrupt of the COVID-19 outbreak.
引用
收藏
页码：292 / 316
页数：25
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