Portfolio and hedging effectiveness of financial assets of the G7 countries

被引：13
作者：
Izadi S. [1 ]
Hassan M.K. [2 ]
机构：
[1] College of Business, Loyola University of New Orleans, 6363 St. Charles Avenue, Box 15, New Orleans, 70118, LA
[2] Department of Economics and Finance, University of New Orleans, New Orleans, 70148, LA
来源：
Eurasian Economic Review | 2018年 / 8卷 / 2期
关键词：
Future markets; GARCH-DCC; Hedging effectiveness; Portfolio design; Stock markets;
D O I：
10.1007/s40822-017-0090-0
中图分类号：
学科分类号：
摘要：
In this paper we investigate the dynamic conditional correlations between the equity and commodity returns for G7 countries from January, 2000 to October, 2014. The commodity futures include Brent, crude, gold, silver, wheat, corn and soybean futures, BCOM and CRB which are two aggregate commodity price indices. The results illustrate the lowest dynamic conditional correlations belong to the portfolios that include gold, wheat and corn futures for all the Equity indices. In addition, the correlations between the gold/equity pairs are negative during the financial crisis. This fact indicates the benefit of hedging stock portfolios with gold futures whenever we have stress in the financial markets. The findings from hedging effectiveness suggest that there are diversification advantages for all the commodity/stock portfolios than only stock portfolios. Finally, including CRB, BCOM and gold future to stock portfolios provides the optimal hedging effectiveness ratios. These findings can be helpful in developing new commodity indices. © 2018, Eurasia Business and Economics Society.
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页码：183 / 213
页数：30
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