Do commodities offer diversification benefits during the COVID-19 pandemic crisis? Evidence from dynamic spillover approach.
Heliyon
; 10(12): e32738, 2024 Jun 30.
Article
em En
| MEDLINE
| ID: mdl-38975215
ABSTRACT
This paper examines the diversification benefits of commodity indices during the COVID-19 pandemic by analyzing both static and dynamic risk spillovers for the period from January 2, 1998 to September 16, 2020. Using variance decomposition forecasting, we employed static and dynamic analyses based on the estimation of 50-day moving window spillover indices. Globally, the results show significant spillovers between markets during the COVID-19 pandemic crisis. The results show that stock markets are highly interdependent with other financial markets (in both directions), and that commodity markets (except energy) and the bond market are recipients of shocks emanating from stock markets. The main contribution of this paper is to study the return and volatility spillovers between stock and commodity indices before and during the pandemic. This study of shock transmission mechanisms will enable investors to develop optimal diversification and hedging strategies during the crisis. In this context, we found that commodities and US government bonds could offer diversification benefits to investors. In addition, some of these assets may serve as hedging instruments or safe havens during the COVID-19 crisis.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Idioma:
En
Revista:
Heliyon
Ano de publicação:
2024
Tipo de documento:
Article
País de afiliação:
Tunísia
País de publicação:
Reino Unido