Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from the COVID-19 pandemic and the Russia-Ukraine war

Rubbaniy, Ghulame; Maghyereh, Aktham; Cheffi, Walid; Khalid, Ali Awais

doi:10.1016/j.jclepro.2024.142217

Journal of Cleaner Production

2024

DOI: 10.1016/j.jclepro.2024.142217

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Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from the COVID-19 pandemic and the Russia-Ukraine war

Ghulame Rubbaniy,

Aktham Maghyereh,

Walid Cheffi

et al.

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2024

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Cited by 5 publications

References 103 publications

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Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War

Rubbaniy,

Khalid,

Syriopoulos

et al. 2024

Journal of Futures Markets

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We apply a Time‐Varying Parameter Vector Auto Regressive (TVP‐VAR) connectedness approach on global assets to investigate time‐varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID‐19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID‐19 and the Russia–Ukraine war and that cumulative returns of portfolios are higher during COVID‐19. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.

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Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War

Rubbaniy,

Khalid,

Syriopoulos

et al. 2024

Journal of Futures Markets

View full text Add to dashboard Cite

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Recent advancement in energy storage technologies and their applications

Khan,

Raza,

Shahbaz

et al. 2024

Journal of Energy Storage

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Forecasting cryptocurrency returns using classical statistical and deep learning techniques

AlMadany,

Hujran,

Naymat

et al. 2024

International Journal of Information Management Data Insights

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Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from the COVID-19 pandemic and the Russia-Ukraine war

Cited by 5 publications

References 103 publications

Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War

Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War

Recent advancement in energy storage technologies and their applications

Forecasting cryptocurrency returns using classical statistical and deep learning techniques

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