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Dynamic connectedness and optimal hedging strategy among commodities and financial indices

Author

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  • Néjib Hachicha

    (FSEG Sfax - Faculté des Sciences Economiques et de Gestion de Sfax - Université de Sfax - University of Sfax)

  • Amine Ben Amar

    (UM5 - Université Mohammed V de Rabat [Agdal])

  • Ikrame Ben Slimane

    (ESSCA Research Lab - ESSCA - Ecole Supérieure des Sciences Commerciales d'Angers)

  • Makram Bellalah

    (LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne)

  • Jean-Luc Prigent

    (THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université)

Abstract

This study looks at the best portfolio strategy for mitigating the risk associated with the MSCI ACWI & Frontier Markets Index, as well as the volatility spillovers between commodity markets and certain financial markets. Therefore, we empirically explore the connectedness among three financial indicators and five product groups using the framework of Diebold and Yilmaz (2012), which is based on a vector autoregressive process and variance decomposition of prediction errors, between 31 May 2002 and 30 July 2021. We also investigate the best hedging instrument(s) for the MSCI ACWI & Frontier Markets Global Index by combining the Asymmetric Dynamic Conditional Correlation (ADCC) model with the risk reduction index and the hedging ratios. Our empirical findings highlight the importance of volatility spillover effects across financial markets, which is not the case for commodity markets with low volatility externalities. Furthermore, the first markets appear to be net transmitters of volatility, whereas the second markets appear to be net receivers. Using the approach of Kroner and Sultan (1993), we show that the least risk portfolio is a portfolio that combines the MSCI ACWI & Frontier Markets Global Index with financial indices related to socially responsible and irresponsible investing.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," Post-Print hal-03745047, HAL.
    • Handle: RePEc:hal:journl:hal-03745047
    DOI: 10.1016/j.irfa.2022.102290
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