Salisu Afees A, Sikiru Abdulsalam Abidemi, Omoke Philip C
Centre for Econometrics and Applied Research, Ibadan, Nigeria.
Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028 South Africa.
Qual Quant. 2022 Oct 6:1-20. doi: 10.1007/s11135-022-01540-4.
This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations captured in exchange traded funds (ETFs). We explore the hedging effectiveness of sectoral ETFs along with a battery of robustness measures. Following the predictability analyses, we find that financial innovations captured in ETFs can effectively hedge both pandemic-induced and financially engineered market risks especially after controlling for the role of oil price in the predictive model. Our model provides better in-sample and out-of-sample forecasting accuracy and economic gains than the benchmark model and this is more pronounced for the COVID-19 pandemic period.
本研究围绕新冠疫情这一导致金融市场风险上升的源头展开。因此，我们探究了疫情引发的风险是否能够通过对交易所交易基金（ETF）所体现的金融创新进行另类投资来对冲。我们考察了行业ETF的对冲有效性以及一系列稳健性指标。通过可预测性分析，我们发现ETF所体现的金融创新能够有效对冲疫情引发的和人为制造的市场风险，尤其是在预测模型中控制了油价的作用之后。我们的模型在样本内和样本外预测准确性以及经济收益方面均优于基准模型，这在新冠疫情期间表现得更为明显。
