Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis

Dor, Arik Ben; Florig, Stephan; Guan, Jingling; Zeng, Xiaming

doi:10.3905/jpm.2021.1.233

Cited by 5 publications

(2 citation statements)

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“…This paper analyzes the out degree, out strength, and in strength of a single node at each scale to detect the important role of an oil series in an information spillover network on a scale. Systematic risk is an important indicator in risk management [ 30 , 31 , 32 , 33 ]. This paper uses the total spillover and the system risk entropy to describe the dynamic systematic risk of the system consisting of oil series at a time scale.…”

Section: Methodsmentioning

confidence: 99%

Dynamic Multiscale Information Spillover among Crude Oil Time Series

2022

Entropy

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This study investigated information spillovers across crude oil time series at different time scales, using a network combined with a wavelet transform. It can detect the oil price, which plays an important role in the dynamic process of spillovers, and it can also analyze the dynamic feature of systematic risk based on entropy at different scales. The results indicate that the network structure changes with time, and the important roles of an oil price can be identified. WTI and Brent act as important spillover transmitters, and other prices are important spillover receivers at a scale. With the increase in time scale, both the number of neighbors and the importance of spillovers of Brent and WTI as spillover transmitters show downward trends. The importance for spillovers of China–Shengli and Dubai as spillover receivers shows a downward trend. This paper provides new evidence for explaining WTI and Brent as global benchmark oil prices. In addition, systematic risk is time-varying, and it is smaller at short-term scale than at long-term scale. The trend of systematic risk is also discussed when typical oil-related events occur. This paper provides a new perspective for exploring dynamic spillovers and systematic risk that offers important implications for policymakers and market investors.

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Section: Methodsmentioning

confidence: 99%

Dynamic Multiscale Information Spillover among Crude Oil Time Series

2022

Entropy

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“…stocks, bonds), with recent research exploring this area. This includes Beirne et al (2021), Capelle-Blanchard et al (2021), Dor et al (2021), Falato et al (2021), Huber et al (2021), Milcheva (2022) and Vidya and Phabheesh (2020). Aspects assessed include performance analysis, risk analysis, investor behaviour, volatility, trade networks, risk management and hedging strategies.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of the COVID-19 crisis on global real estate capital flows

Newell

Marzuki

2023

JPIF

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PurposeCOVID-19 has had a significant global impact at many levels, including an impact on global real estate capital flows. This paper examines the impact of COVID-19 on global real estate capital flows over 2019–2022 to clearly articulate the extent of this impact on global real estate capital flows across regions, countries, major cities, real estate sub-sectors and by major real estate investors. Drivers of these global real estate capital flow changes are also identified. The strategic real estate investment implications of this impact are highlighted, as well as the implications going forward concerning the global real estate strategies for the real estate portfolios held by institutional investors.Design/methodology/approachTo assess the impact of COVID-19, the Real Capital Analytics (RCA) database of global real estate transactions over 2019–2022 is used to drill-out critical details on commercial real estate transactions to explore specific trends in global real estate capital flows in this period of the COVID-19 crisis. This includes real estate capital flows to specific regions, countries, cities, real estate sub-sectors as well as the role of major real estate investors.FindingsThe impact of COVID-19 is clearly shown with the major decline in global real estate capital flows in 2020, with a strong recovery in 2021. Reduced levels of real estate capital flows in 2022 reflect different risk dynamics, where 2022 has seen investors move on from the COVID-19 environment. In 2022, the risk of COVID-19 for real estate has been replaced by global real estate risk factors such as inflation concerns, geopolitical tensions, economic growth concerns, increased cost of debt issues and supply chain issues. This sees COVID-19 now rated as only the 6th most important risk factor in real estate investment decision-making for real estate investors in the Americas, Europe, Middle East and Africa (EMEA) and Asia–Pacific.Practical implicationsThis research has clearly shown the extent of the impact of COVID-19 on global real estate capital flows, as well as identifying the drivers of these real estate capital flow changes. It highlights that real estate investors have moved on and are now prioritising new risk factors ahead of COVID-19 risk. These critical risk factors reflect more recent financial, economic and geopolitical issues, which are key issues in real estate investment decision-making going forward. Investors need to structure these new risk factors into their real estate investment decision-making for the ongoing management of their domestic and international real estate portfolios.Originality/valueThis paper is the first published empirical research analysis of global real estate capital flows during the COVID-19 crisis. This research provides major insights on real estate investment decision-making during this crisis and the strategic changes seen in acquiring real estate portfolios in response to this major global crisis. The change in real estate risk priorities in 2022 as real estate investors move on from the COVID-19 environment is also identified and is clearly reflected in the 2022 global real estate capital flows.

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Systematic COVID risk, idiosyncratic COVID risk and stock returns

Wan,

Zhang

2024

The North American Journal of Economics and Finance

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Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis

Cited by 5 publications

References 3 publications

Dynamic Multiscale Information Spillover among Crude Oil Time Series

Dynamic Multiscale Information Spillover among Crude Oil Time Series

The impact of the COVID-19 crisis on global real estate capital flows

Systematic COVID risk, idiosyncratic COVID risk and stock returns

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