Al-Nassar Nassar S, Boubaker Sabri, Chaibi Anis, Makram Beljid
Department of Economics and Finance, College of Business and Economics, Qassim University, Buraydah, Saudi Arabia.
EM Normandie Business School, Métis Lab, Paris, France.
Q Rev Econ Finance. 2022 Oct 27. doi: 10.1016/j.qref.2022.10.010.
This paper investigates the potential hedging and safe-haven properties of several alternative investment assets, including gold, Bitcoin, oil, and the oil price volatility index (OVX), against the risks of the Saudi stock market and its constituent sectors in different phases of the COVID-19 pandemic. Using daily data, we employ the bivariate dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) technique to model volatilities and conditional correlations. Our findings show that all investigated alternative investment assets had a time-varying hedging role in the Saudi stock market, which became expensive during the early stages of the COVID-19 pandemic. Our results also show that the optimal weights for gold were substantially higher than those of other assets, reaching a peak during the pandemic, implying that investors consider gold a flight-to-safety asset. Additionally, we find that gold and OVX were strong hedges and could have served as weak safe havens for investors during the early stages of the COVID-19 pandemic, while the remaining assets generally lacked these properties and could be merely used as diversifiers. Our empirical findings offer several key implications for policymakers and portfolio managers in Saudi Arabia that may be applicable to similar markets. In particular, we show that OVX-based products can serve as a promising hedging asset for stock markets in oil-exporting countries.
本文研究了几种另类投资资产，包括黄金、比特币、石油和油价波动指数（OVX），在新冠疫情不同阶段对沙特股市及其组成板块风险的潜在套期保值和避险属性。利用日数据，我们采用二元动态条件相关广义自回归条件异方差（DCC-GARCH）技术对波动率和条件相关性进行建模。我们的研究结果表明，所有被研究的另类投资资产在沙特股市中都具有随时间变化的套期保值作用，在新冠疫情初期该作用成本高昂。我们的结果还表明，黄金的最优权重显著高于其他资产，在疫情期间达到峰值，这意味着投资者将黄金视为避险资产。此外，我们发现黄金和OVX是强有力的套期保值工具，在新冠疫情初期可为投资者充当较弱的避险资产，而其余资产通常缺乏这些属性，仅可作为分散投资工具。我们的实证研究结果为沙特阿拉伯的政策制定者和投资组合经理提供了几个关键启示，这些启示可能适用于类似市场。特别是，我们表明基于OVX的产品可作为石油出口国股票市场有前景的套期保值资产。
