COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations
Tóm tắt
Từ khóa
Tài liệu tham khảo
Agapova A (2011) Conventional mutual index funds versus exchange-traded funds. J Financ Mark 14(2):323–343
Al-Maadid A, Caporale GM, Spagnolo F, Spagnolo N (2017) Spillovers between food and energy prices and structural breaks. Int Econ 150:1–18. https://doi.org/10.1016/j.inteco.2016.06.005
Apergis E, Apergis N (2020) Can the COVID-19 pandemic and oil prices drive the US Partisan Conflict Index? Energy Res Lett. https://doi.org/10.46557/001c.1314
Arouri MEH, Nguyen DK (2010) Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 38(8):4528–4539
Arouri MEH, Jouini J, Nguyen DK (2011a) Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. J Int Money Financ 30(7):1387–1405
Arouri MEH, Lahiani A, Nguyen DK (2011b) Return and volatility transmission between world oil prices and stock markets of the GCC countries. Econ Model 28(4):1815–1825
Babikir A, Gupta R, Mwabutwa C, Owusu-Sekyere E (2012) Structural breaks and GARCH models of stock return volatility: the case of South Africa. Econ Model 29(6):2435–2443. https://doi.org/10.1016/j.econmod.2012.06.038
Baur DG, Lucey BM (2010) Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financ Rev 45:217–229
Beck T, Demirgüç-Kunt A, Merrouche O (2010) Islamic vs. conventional banking: business model, efficiency and stability. The World Bank, Washington. https://doi.org/10.1596/1813-9450-5446
Beck T, Chen T, Lin C, Song FM (2016) Financial innovation: the bright and the dark sides. J Bank Finance 72:28–51
Berg E, Schmitz B, Starp M (2006) Weather derivatives as an instrument to hedge against the risk of high energy cost in greenhouse production (No. 1004-2016-78626)
Chang, B. H., Sharif, A., Aman, A., Suki, N. M., Salman, A., & Khan, S. A. R. (2020). The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach. Resources Policy, 65, 101571.
Chapra MU (2011) The global financial crisis: can islamic finance help? Islamic economics and finance. Springer, pp 135–142. https://doi.org/10.1057/9780230361133_5
Cheema MA, Faff RW, Szulczuk K (2020) The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets? Covid Econ Vetted Real-Time Pap 34:88–115
Chen Z (1995) Financial innovation and arbitrage pricing in frictional economies. J Econ Theory 65(1):117–135
Chou YK (2007) Modeling financial innovation and economic growth: Why the financial sector matters to the real economy. J Econ Educ 38(1):78–90
Conlon T, McGee R (2020) Safe haven or risky hazard? Bitcoing during the COVID-19 bear market. Financ Res Lett. https://doi.org/10.1016/j.frl.2020.101607
Corbet S, Larkin C, Lucey B (2020) The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies. Financ Res Lett. https://doi.org/10.1016/j.frl.2020.101554
Dannhauser CD (2017) The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). J Financ Econ 125(3):537–560
Devpura N, Narayan PK (2020) Hourly oil price volatility: the role of COVID-19. Energy Res Lett. https://doi.org/10.46557/001c.13683
El-Sharif I, Brown D, Burton B, Nixon B, Russell A (2005) Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Econ 27(6):819–830
Engle RF, Ng VK (1993) Measuring and testing the impact of news on. J Finance 48(1749):1778
Engle RF, Sheppard K (2001) Theoretical and empirical properties of dynamic conditional correlation MVGARCH. UCSD working paper No. 2001-15
Fu M, Shen H (2020) COVID-19 and corporate performance in the energy industry. Energy Res Lett. https://doi.org/10.46557/001c.12967
Gao Y (2012) Hedging effectiveness of energy exchange traded funds. Doctoral dissertation, Concordia University
Gil-Alana LA, Claudio-Quiroga G (2020) The COVID-19 impact on the asian stock markets. Asian Econ Lett. https://doi.org/10.46557/001c.17656
Gil-Alana LA, Monge M (2020) Crude oil prices and COVID-19: persistence of the shock. Energy Res Lett. https://doi.org/10.46557/001c.13200
Godil DI, Sarwat S, Sharif A, Jermsittiparsert K (2020) How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique. Resour Policy 66:101638. https://doi.org/10.1016/j.resourpol.2020.101638
Hasan MM, Dridi J (2010) The effects of the global crisis on Islamic and conventional banks: a comparative study. IMF working papers, pp 1–46. https://doi.org/10.1142/S1793993311000270
Huang W, Zheng Y (2020) COVID-19: structural changes in the relationship between investor sentiment and crude oil futures price. Energy Res Lett 1(2)
Investopedia (2020) Top health care stocks for July, 2020. Available online: https://www.investopedia.com/investing/top-healthcare-stocks/. Assessed 7 Nov 2020
Iyke BN (2020a) COVID-19: the reaction of US oil and gas producers to the pandemic. Energy Res Lett 1(2):13912. https://doi.org/10.46557/001c.13912
Iyke BN (2020b) The disease outbreak channel of exchange rate return predictability: evidence from COVID-19. Emerg Mark Financ Trade 56(10):2277–2297
Iyke BN (2020c) Economic policy uncertainty in times of COVID-19 pandemic. Asian Econ Lett. https://doi.org/10.46557/001c.17665
Iyke BN, Ho SY (2020) Consumption and exchange rate uncertainty: evidence from selected Asian countries. World Econ 43(9):2437–2462
Jin J, Han L, Wu L, Zeng H (2020) The hedging effectiveness of global sectors in emerging and developed stock markets. Int Rev Econ Financ 66:92–117. https://doi.org/10.1016/j.iref.2019.11.001
Killa S (2020) Top-ranked ETFs, stocks from top sector of the last decade. Retrieved from https://finance.yahoo.com/news/top-ranked-etfs-stocks-top-150003045.html
Kroner KF, Ng VK (1998) Modeling asymmetric comovements of asset returns. Rev Financ Stud 11(4):817–844
Kumar D (2014) Return and volatility transmission between gold and stock sectors: application of portfolio management and hedging effectiveness. IIMB Manag Rev 26(1):5–16. https://doi.org/10.1016/j.iimb.2013.12.002
Lee M, Chiou J-S, Wu P-S, Chen C-D (2005) Hedging with S&P500 and E-mini S&P500 stock index futures. J Stat Manag Syst 8(2):275–294
Liu L, Wang E-Z, Lee C-C (2020) Impact of the COVID-19 pandemic on the crude oil and stock markets in the US: a time-varying analysis. Energy Res Lett. https://doi.org/10.46557/001c.13154
Marszk A, Lechman E (2018) Tracing financial innovation diffusion and substitution trajectories. Recent evidence on exchange-traded funds in Japan and South Korea. Technol Forecast Soc Chang 133:51–71
Mishra S, Sharif A, Khuntia S, Meo SA, Khan SAR (2019) Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach. Resour Pol 62:292–304. https://doi.org/10.1016/j.resourpol.2019.04.005
Mohanty SK, Nandha M, Turkistani AQ, Alaitani MY (2011) Oil price movements and stock market returns: evidence from Gulf Cooperation Council (GCC) countries. Global Finance J 22(1):42–55. https://doi.org/10.1016/j.gfj.2011.05.004
Mongi A, Dhouha HA (2016) Do structural breaks affect portfolio designs and hedging strategies? International evidence from stock-commodity markets linkages. Int J Econ Financ Issues 6(1):252–270
Naeem M, Umar Z, Ahmed S, Ferrouhi EM (2020) Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach. Phys A 557:124885. https://doi.org/10.1016/j.physa.2020.124885
Narayan PK (2020a) Oil price news and COVID-19-Is there any connection? Energy Res Lett 1(1):13176. https://doi.org/10.46557/001c.13176
Narayan PK (2020b) Has COVID-19 changed exchange rate resistance to shocks? Asian Econ Lett. https://doi.org/10.46557/001c.17389
Narayan PK (2020c) Did bubble activity intensify during COVID-19? Asian Econ Lett. https://doi.org/10.46557/001c.17654
Narayan PK, Gupta R (2015) Has oil price predicted stock returns for over a century? Energy Econ. 48:18–23
Narayan PK, Liu R (2011) Are shocks to commodity prices persistent? Appl Energy 88(1):409–416. https://doi.org/10.1016/j.apenergy.2010.07.032
Narayan PK, Liu R (2015) A unit root model for trending time-series energy variables. Energy Econ 50:391–402
Narayan PK, Phan DHB (2017) Momentum strategies for Islamic stocks. Pac Basin Finance J 42:96–112. https://doi.org/10.1016/j.pacfin.2016.05.015
Narayan PK, Popp S (2010) A new unit root test with two structural breaks in level and slope at unknown time. J Appl Stat 37(9):1425–1438
Narayan PK, Narayan S, Prasad A (2008) Understanding the oil price-exchange rate nexus for the Fiji islands. Energy Econ 30:2686–2696
Narayan PK, Phan DHB, Sharma SS (2019) Does Islamic stock sensitivity to oil prices have economic significance? Pac. Basin Finance j. 53:497–512. https://doi.org/10.1016/j.pacfin.2018.04.003
Narayan PK, Devpura N, Wang H (2020) Japanese currency and stock market—What happened during the COVID-19 pandemic? Econ Anal Policy 68:191–198
Okorie DI, Lin B (2020) Crude oil price and cryptocurrencies: evidence of volatility connectedness and hedging strategy. Energy Econ 87:104703
Olson E, Vivian A, Wohar ME (2019) What is a better cross-hedge for energy: equities or other commodities? Global Finance J 42:100417
Ozdurak C, Ulusoy V (2020) Price discovery in crude oil markets: intraday volatility interactions between crude oil futures and energy exchange traded funds. Int J Energy Econ Policy 10(3):402–413
Partnoy F, Thomas RS (2007) Gap filling, hedge funds, and financial innovation 6–21
Polemis M, Soursou S (2020) Assessing the impact of the COVID-19 pandemic on the Greek energy firms: an event study analysis. Energy Res Lett 1(3)
Prabheesh KP (2020) Dynamics of foreign portfolio investment and stock market returns during the COVID-19 pandemic: evidence from India. Asian Econ Lett. https://doi.org/10.46557/001c.17658
Prabheesh KP, Padhan R, Garg B (2020) COVID-19 and the oil price-stock market nexus: evidence from net oil-importing countries. Energy Res Lett. https://doi.org/10.46557/001c.13745
Qin M, Zhang Y-C, Su C-W (2020) The essential role of pandemics: a fresh insight into the oil market. Energy Res Lett. https://doi.org/10.46557/001c.13166
Rahim AM, Masih M (2016) Portfolio diversification benefits of Islamic investors with their major trading partners: evidence from Malaysia based on MGARCH-DCC and wavelet approaches. Econ Modell 54:425–438. https://doi.org/10.1016/j.econmod.2015.12.033
Rizvi SAR, Arshad S, Alam N (2015) Crises and contagion in Asia Pacific—Islamic v/s conventional markets. Pac Basin Finance J 34:315–326. https://doi.org/10.1016/j.pacfin.2015.04.002
Sakarya B, Ekinci A (2020) Exchange-traded funds and FX volatility: evidence from Turkey. Central Bank Rev. https://doi.org/10.1016/j.cbrev.2020.06.002
Salisu A, Adediran I (2020) Uncertainty due to infectious diseases and energy market volatility. Energy Res Lett. https://doi.org/10.46557/001c.14185
Salisu AA, Adeleke AI (2016) Further application of Narayan and Liu (2015) unit root model for trending time series. Econ Modell 55(C):305–314
Salisu AA, Mobolaji H (2013) Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate. Energy Econ 39:169–176
Salisu AA, Oloko TF (2015a) Modeling oil price–US stock nexus: a VARMA–BEKK–AGARCH approach. Energy Econ 50(C):1–12
Salisu AA, Oloko TF (2015b) Modelling spillovers between stock market and FX market: evidence for Nigeria. J Afr Bus 16(1–2):84–108
Salisu AA, Sikiru AA (2020) Pandemics and the Asia-Pacific Islamic stocks. Asian Econ Lett. https://doi.org/10.46557/001c.17413
Salisu AA, Ndako UB, Oloko TF, Akanni LO (2016) Unit root modeling for trending stock market series. Borsa Istanbul Rev 16(2):82–91
Salisu AA, Adekunle W, Alimi WA, Emmanuel Z (2019a) Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries. Resour Policy 62(C):33–56
Salisu AA, Raheem ID, Ndako UB (2019b) A sectoral analysis of asymmetric nexus between oil price and stock returns. Int Rev Econ Finance 61(C):241–259
Salisu AA, Swaray R, Oloko TF (2019c) Improving predictability of oil-US stock nexus: the role of macroeconomic variables. Econ Model 76:153–171. https://doi.org/10.1016/j.econmod.2018.07.029
Salisu AA, Ebuh GU, Usman N (2020a) Revisiting oil-stock nexus during COVID-19 pandemic: some preliminary results. Int Rev Econ Financ 69:280–294. https://doi.org/10.1016/j.iref.2020.06.023
Salisu AA, Vo XV, Lawal A (2020b) Hedging oil price risk with gold during COVID-19 pandemic. Resour Policy. https://doi.org/10.1016/j.resourpol.2020.101897
Selmi R, Mensi W, Hammoudeh S, Bouoiyour J (2018) Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Econ 74:787–801
Sharma SS (2020) A note on the asian market volatility during the COVID-19 pandemic. Asian Econ Lett. https://doi.org/10.46557/001c.17661
Sharma S, Rodriguez I (2019) The diminishing hedging role of crude oil: evidence from time varying financialization. J Multinatl Financ Manag 52:100593. https://doi.org/10.1016/j.mulfin.2019.100593
Smyth R, Narayan PK (2018) What do we know about oil prices and stock returns? Int Rev Financ Anal 57:148–156
Statista (2020) How Covid 19 has impacted the global start up. Available online: https://www.statista.com/chart/22134/coronavirus-impact-on-startups/. Assessed 7 Aug 2020, pp 237–256
Swaray R, Salisu AA (2018) A firm-level analysis of the upstream-downstream dichotomy in the oil-stock nexus. Global Finance J 37(C):199–218
Tari MJ (2010). Exchange‐traded funds (ETFs). In: Encyclopedia of quantitative finance, R. Cont (Ed.). https://doi.org/10.1002/9780470061602.eqf07035
Tisdell CA (2020) Economic, social and political issues raised by the COVID-19 pandemic. Econ Anal Policy 68:17–28
Xavier J (2020) ETFs: passing the Covid-19 stress test | ETF Strategy. Retrieved October 11, 2020, from https://www.etfstrategy.com/etfs-passing-the-covid-19-stress-test-98547/
Yang MJ, Lai YC (2009) An out-of-sample comparative analysis of hedging performance of stock index futures: dynamic versus static hedging. Appl Financ Econ 19(13):1059–1072
Yang CC, Brockett PL, Wen MM (2009) Basis risk and hedging efficiency of weather derivatives. J Risk Finance