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Dynamic return connectedness between commodities and travel & leisure ETFs: Investment strategies and portfolio implications

Author

Listed:
  • Lang, Chunlin
  • Hu, Yang
  • Corbet, Shaen
  • Goodell, John W.

Abstract

Examining return connectedness between the largest US-based oil and gold ETFs and three major travel & leisure ETFs, we provide substantial value for understanding how investors can diversify sectoral risk. We also compare several portfolio strategies to explore interactive effects. Results indicate a high level of interdependence between gold, oil and the examined ETFs, where the minimum variance portfolio (MVP) is found to be the most efficient. Robustness testing reaffirms the finding that the gold ETF is an important portfolio rebalancing tool to specifically minimise risks associated with travel-related ETFs. Our results have important implications for investors and portfolio managers.

Suggested Citation

  • Lang, Chunlin & Hu, Yang & Corbet, Shaen & Goodell, John W., 2023. "Dynamic return connectedness between commodities and travel & leisure ETFs: Investment strategies and portfolio implications," Finance Research Letters, Elsevier, vol. 58(PB).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007432
    DOI: 10.1016/j.frl.2023.104371
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    More about this item

    Keywords

    Commodities; Travel and leisure; Exchange traded funds; Dynamic connectedness; Portfolio diversification;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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