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Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases

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  • Yousaf, Imran
  • Arfaoui, Nadia
  • Gubareva, Mariya

Abstract

We examine the return and volatility transmission between oil and US equity sectors during three periods: the pre-COVID-19 phase, COVID-19 pre-vaccination phase, and COVID-19 post-vaccination phase. We show that the return and volatility spillovers between oil and US equity sectors vary across these three phases. The highest return connectedness is observed during the post-vaccination phase. The volatility spillover is highest from the majority of sectors to oil market in the COVID-19 pre-vaccination phase. The volatility transmission from oil to US equities during COVID-19 is weak. Moreover, our optimal weights estimations suggest that investors should decrease their exposures in US equities for the portfolio of oil-equity sectors in the COVID-19 post-vaccination phase. Finally, hedging cost is lowest, and hedging effectiveness is highest during the post-vaccination phase. Our findings provide valuable insights to portfolio managers and investors regarding portfolio diversification, hedging, and forecasting during health crises and subsequent recovery phases.

Suggested Citation

  • Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531923003306
    DOI: 10.1016/j.ribaf.2023.102204
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    Keywords

    Spillovers; Hedging Effectiveness; Oil; Equity Sectors; COVID-19; COVID-Vaccination;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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