Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19.
Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19.
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能源和股票市场之间的动态溢出及其在 COVID-19 背景下的影响
DOI：
10.1016/j.irfa.2021.101828
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发表时间：
2021-10
影响因子：
8.2
通讯作者：
Shao, Liuguo
中科院分区：
文献类型：
--
作者：
Zhang, Hua;Chen, Jinyu;Shao, Liuguo
本文结合时变参数向量自回归模型和溢出指数模型，分析了新冠肺炎爆发前后能源和股票市场的静态、总体和净溢出效应。网络方法也被用来更直观地刻画结构变化。此外，我们计算和比较了新冠肺炎期间套期保值比率、最优投资组合权重和套期保值有效性的变化，以指导投资者调整投资组合策略。主要研究结果如下：第一，新冠肺炎对总溢出效应有显著影响，总溢出指数平均值较疫情前提高了19.94%。二是能源市场在新冠肺炎之前是股市的重要风险承接主体，新冠肺炎爆发后风险接受程度提升。第三，新冠肺炎爆发后，套期保值比例、最优投资组合权重、套期保值有效性均出现较大变化，需要投资者调整投资组合策略。
This study combined time-varying parameter vector autoregression (TVP-VAR) and a spillover index model to analyze the static, total, and net spillover effects of energy and stock markets before and after the COVID-19 outbreak. A network method was also used to depict structural changes more intuitively. Furthermore, we calculated and compared changes in the hedge ratio, optimal portfolio weights, and hedge effectiveness to guide investors to adjust portfolio strategies during COVID-19. The main findings were as follows: First, COVID-19 had a significant impact on spillover effects, and the average value of total spillover index increased by 19.94% compared with that before the epidemic. Second, the energy market was an important risk recipient of the stock market before COVID-19, and the extent of risk acceptance increased after the COVID-19 outbreak. Third, the hedging ratio, optimal portfolio weights, and hedge effectiveness showed huge changes after the COVID-19 outbreak, requiring investors to adjust their portfolio strategies.
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