IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-20-00397.html
   My bibliography  Save this article

Hedging strategy for financial variables and commodities

Author

Listed:
  • Ilyes Abid

    (ISC Business School Paris)

  • Abderrazak Dhaoui

    (University of Sousse, IHEC, LaREMFiQ, and Ipag Business School)

  • Khaled Guesmi

    (Paris School of Business and CRECC, Paris)

  • Olfa Kaabia

    (INSEEC U, INSEEC Grande école Paris)

Abstract

This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oil prices, the VIX index, gold prices, bond prices, and CDS spreads are considered. The Dynamic Multivariate GARCH is used to estimate the hedge ratios by separate and complex hedge types from December 2007 to June 2018. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the commodities prices sensitivity to financial variables. The results show that gold and CDS provide higher hedging effectiveness against equity market losses. Negative correlations between the equity market and VIX are particularly notable, suggesting the economic benefits of diversification.

Suggested Citation

  • Ilyes Abid & Abderrazak Dhaoui & Khaled Guesmi & Olfa Kaabia, 2020. "Hedging strategy for financial variables and commodities," Economics Bulletin, AccessEcon, vol. 40(2), pages 1368-1379.
    • Handle: RePEc:ebl:ecbull:eb-20-00397
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2020/Volume40/EB-20-V40-I2-P117.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mohamed Yousfi & Abderrazak Dhaoui & Houssam Bouzgarrou, 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management," JRFM, MDPI, vol. 14(5), pages 1-29, May.
    2. Tarchella, Salma & Dhaoui, Abderrazak, 2021. "Chinese jigsaw: Solving the equity market response to the COVID-19 crisis: Do alternative asset provide effective hedging performance?," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Abid, Ilyes & Dhaoui, Abderrazak & Kaabia, Olfa & Tarchella, Salma, 2023. "Geopolitical risk on energy, agriculture, livestock, precious and industrial metals: New insights from a Markov Switching model," Resources Policy, Elsevier, vol. 85(PA).

    More about this item

    Keywords

    Equity markets; CDS; Gold; Crude Oil; VIX; Hedging; Dynamic correlations; GARCH models.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-20-00397. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.