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The evaluation of time-varying hedging and portfolio decisions under Trump's tariff-induced volatility

Author

Listed:
  • Chin Wen Cheong

    (Universiti Tunku Abdul Rahman, Malaysia and Sunway University, Malaysia)

  • Nor Azliana Aridi

    (Faculty of Management, Multimedia University)

Abstract

The declaration of Trump's reciprocal global tariffs had a profound influence on global trade dynamics and triggered excessive volatility across global financial markets. The drastic imposition of tariffs has disrupted international supply chains, commodity flows, and additional risk perceptions in equity, commodity and currency markets. In this study, an asymmetric multivariate model is used to capture the negative economic shocks or policy tensions in volatility co-movements among equity (NASDAQ) and commodity markets (Gold Futures and Crude oil Futures). These estimation results are crucial in determining the dynamic hedge ratio and time-varying portfolio weight in designing effective hedging and optimal asset allocations. These indicators are important for market participants to plan their overall portfolio stability in the global trading environment.

Suggested Citation

  • Chin Wen Cheong & Nor Azliana Aridi, 2026. "The evaluation of time-varying hedging and portfolio decisions under Trump's tariff-induced volatility," Economics Bulletin, AccessEcon, vol. 46(3), pages 914-925.
    • Handle: RePEc:ebl:ecbull:eb-26-00841
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets

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