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COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations

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  • Afees A. Salisu

    (University of Ibadan Centre for Econometric and Allied Research)

  • Kingsley Obiora

    (Central Bank of Nigeria)

Abstract

This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between energy variants and crude oil proxies. We employ a multivariate volatility modeling framework that accounts for important statistical features of the non-energy ETFs and oil price series in the computation of optimal weights and optimal hedging ratios. Results show evidence of hedging effectiveness for the financial innovations against oil market risks, with higher hedging performance observed during the pandemic. Overall, we show that sectoral financial innovations provide resilient investment options. Therefore, we propose that including the ETFs in an investment portfolio containing oil could improve risk-adjusted returns, especially in similar financial crisis as witnessed during the pandemic. In essence, our results are useful for investors in the global oil market seeking to maximize risk-adjusted returns when making investment decisions. Moreover, by exploring the role of structural breaks in the multivariate volatility framework, our attempts at establishing robustness for the results reveal that ignoring the same may lead to wrong conclusions about the hedging effectiveness.

Suggested Citation

  • Afees A. Salisu & Kingsley Obiora, 2021. "COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-19, December.
    • Handle: RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00253-1
    DOI: 10.1186/s40854-021-00253-1
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    More about this item

    Keywords

    Pandemics; Financial innovations; Energy markets; Hedging; Optimal portfolio;
    All these keywords.

    JEL classification:

    • I19 - Health, Education, and Welfare - - Health - - - Other
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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