The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets

Corbet, Shaen; Hou, Yang; Hu, Yang; Oxley, Les

doi:10.1016/j.ribaf.2021.101510

Cited by 36 publications

(12 citation statements)

References 99 publications

(123 reference statements)

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“…Results are consistent with the extreme fall in WTI prices catalysing a market reassessment of the appropriate future cost of polluting, as has been suggested by recent studies [Corbet et al, , 2022. Our results also suggest that carbon futures are simply vulnerable to volatility contagion from energy markets, without an attributable cause.…”

Section: Discussionsupporting

confidence: 90%

Are carbon futures prices stable? New evidence during negative oil

Ahonen

Corbet

Goodell

et al. 2022

Finance Research Letters

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Section: Discussionsupporting

confidence: 90%

Are carbon futures prices stable? New evidence during negative oil

Ahonen

Corbet

Goodell

et al. 2022

Finance Research Letters

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“…By comparing different hedging strategies, they conclude that the capability of the CSI300 index futures to hedge against the risks of the COVID-19 is impaired, regardless of whether constant or timevarying hedge ratios are used. These results transfer attention from market rewards to risks, showing that stock market has more volatility during the crisis [5].…”

Section: Related Literaturementioning

confidence: 62%

Do Investors Repeat History: Evidence from Post-pandemic Pharmaceuticals Industry

Zhou¹

2023

BCPBM

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The pharmaceuticals industry in China has boomed because of the outbreak of COVID-19, but investors’ overreaction brings it to a sharp volatility. With the time going on, the pandemic has been well controlled recently, and investors have developed a deeper perception of it, thus the situation becomes different. However, few researchers move their attention to problems in the post-pandemic world: how the pharmaceuticals industry perform now and whether investors learn something from the history. These problems do make sense as they are more related to what people face of the moment. By building VAR and ARMA-GARCH-X model, this research conducts a time series analysis on these topics in the post-pandemic background. Since the series are stationary after some processing and the models pass strict test, some reliable conclusions are reached. It is found that the pharmaceuticals industry is less affected by COVID-19 nowadays as the pandemic has been normalized. What’s more, although investors repeat history, the degree of their irrationality is mitigated, indicating that history lessons at least leave some positive impacts on investors’ behaviors. Such conclusions suggest that policy makers should carry out hedging measures to reduce possible overreactions, and that investors should not follow the trend blindly, or the bubble will burst at any time.

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“…Finally, the world has witnessed an unprecedented event with the emergence of COVID-19, which has generated significant financial and psychological uncertainty in various industries and economies (Khou et al, 2021). COVID-19 has yielded relevant questions about the most appropriate hedging functionality of various assets against pandemic-related risks (Corbet et al 2022 ). Given this, the period under study could be extended to account for periods following COVID-19 and the war in Ukraine and their impact on gold’s hedging effectiveness against GCC equities.…”

Section: Discussionmentioning

confidence: 99%

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

Mensi

Maitra²,

Selmi³

et al. 2023

Financ Innov

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This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North Africa (MENA) region and (ii) using the copula-quantile-on-quantile and conditional value at risk methods to detail the risks facing market participants provided with accurate information about various gold and stock market scenarios (i.e., bear, normal, bull). The results provide strong evidence of quantile dependence between gold and stock returns. Positive correlations are found between MENA gold and stock markets when both are bullish. Conversely, when stock returns are bearish, gold markets show negative correlations with MENA stock markets. The risk spillover from gold to stock markets intensified during the global financial and European crises. Given the risk spillover between gold and stock markets, investors in MENA markets should be careful when considering gold as a safe haven because its effectiveness as a hedge is not the same in all MENA stock markets. Investors and portfolio managers should rebalance their portfolio compositions under various gold and stock market conditions. Overall, such precise insights about the heterogeneous linkages and spillovers between gold and MENA stock returns provide potential input for developing effective hedging strategies and optimal portfolio allocations.

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The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets

Cited by 36 publications

References 99 publications

Are carbon futures prices stable? New evidence during negative oil

Are carbon futures prices stable? New evidence during negative oil

Do Investors Repeat History: Evidence from Post-pandemic Pharmaceuticals Industry

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

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