Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX: A comparison between DCC, ADCC and GO-GARCH models

Hachicha, Néjib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; Tahi, Sofiane; Dammak, Fredj Amine

doi:10.1016/j.bir.2021.04.002

Cited by 11 publications

(9 citation statements)

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“…The remains pairs have negative HE values, implying that hedged portfolios that include both commodities and BTC perform even worse than unhedged portfolios. These results are consistent with studies by Hachicha et al . (2022).…”

Section: Empirical Findings and Discussionsupporting

confidence: 94%

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Said,

Ouerfelli

2024

JRF

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PurposeThis paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional heteroskedasticity (GARCH) and asymmetric DCC (ADCC)-GARCH models.Design/methodology/approachDCC-GARCH and ADCC-GARCH models.FindingsThe most of DCCs among market pairs are positive during COVID-19 period, implying the existence of volatility spillovers (Contagion-effects). This implies the lack of additional economic gains of diversification. So, COVID-19 represents a systematic risk that resists diversification. However, during the Russia–Ukraine war the DCCs are negative for most pairs that include Oil and Gold, implying investors may benefit from portfolio-diversification. Our hedging analysis carries significant implications for investors seeking higher returns while hedging their Dow Jones portfolios: keeping their portfolios unhedged is better than hedging them. This is because Islamic stocks have the ability to mitigate risks.Originality/valueOur paper may make a valuable contribution to the existing literature by examining the hedging of financial assets, including both conventional and Islamic assets, during periods of stability and crisis, such as the COVID-19 pandemic and the Russia–Ukraine war.

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Section: Empirical Findings and Discussionsupporting

confidence: 94%

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Said,

Ouerfelli

2024

JRF

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“…Moreover, Alkhazali and Zoubi (2020) also suggested that the presence of gold in an investor's investment portfolio will increase the possibility of obtaining a higher return and degrade the loss. In addition, numerous existing studies, including Aftab et al (2019), Vanitha and Saravanakumar (2019), Huang and Kilic (2019), Singhal et al (2019), andHachicha et al (2021) corroborated that the risk-averse investors should incline to utilized gold as the hedging tools due to its stability during extreme volatility of exchange rate.…”

Section: Short-run and Long-run Estimation Resultsmentioning

confidence: 88%

Islamic Stock Market Performance Pre-COVID-19: Empirical Evidence from Jakarta Islamic Index

Supriani

Herianingrum

Ninglasari

et al. 2022

JEBIS

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Islamic stock market has experienced massive growth globally, including in Indonesia. This study aims to investigate the predicting factors of the Indonesian Islamic stock market that presents by the stock price of the Jakarta Islamic Index (JII). Adopted the Augmented Distributed Lag (ARDL) approach, this study uses monthly data from January 2007 to February 2020. This study uses five macroeconomic variables, namely consumer price index, exchange rate, crude oil price, world gold price, and Dow Jones Islamic Index (DJIM), to determine the JII's stock price. As a result, the JII's price volatility is significantly driven by the macroeconomic variables simultaneously. Importantly, this study reports that world gold price and DJIM return to become the most crucial factors influencing the ' 'JII's stock price volatility in short and long-run investment periods. This study has passed robustness checks by conducting three out of sample periods, namely 25%, 50%, and 75% out of sample. The 75% and 50% out of sample data revealed an identical result. Thus, this study suggests that the investor evaluates the crude oil price and world gold price fluctuation to predict the price of JII. This study offers practical implications for policymakers and practitioners and recommendations for future research.

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“…Bogdan et al (2021) also confirmed the efficiency of VIX, even during the COVID-19 pandemic period. Regarding VSTOXX, we found that Hachicha et al (2021) applied the index as a potential inducer of some emerging Islamic stock market hedge factors. Furthermore, Grima et al (2021) found a cointegration relation among VIX and COVID-19 features, in which new cases had a stronger effect on VIX than new deaths for the U.S.…”

Section: Investor Sentiment Vis-à-vis Covid-19's Effect On Marketsmentioning

confidence: 99%

Determinants of Qualified Investor Sentiment during the COVID-19 Pandemic in North America, Asia, and Europe

Reis

2022

Economies

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This work delineates the factors determining investor sentiment in specific regions during the pandemic and the influence of attitudes towards vaccination. The findings show that the reactions of knowledgeable investors in different regions to the economic effects of the pandemic were not uniform but depended on a variety of individual factors. Risk perception varied widely due to idiosyncrasies in specific countries and regions, the level of pandemic information, reaction to case reports and deaths, attitudes towards vaccination, lockdown compliance, and government measures to support businesses. These various elements combined to create different outlooks in the minds of investors that strongly influenced their investment strategies. For this investigation, we tested three estimation models: the classic robust standard error for time series regression, the new robust standard errors regression, and the Prais robust estimation. This study applied the lasso system of machine learning to select relevant explanatory variables. The novelty of our work resides in its analysis of the conduct of informed investors, using a reliable proxy, and the discussion of how government policies and different pandemic-related factors, specifically the vaccination status, affected investor sentiment in different regions. As for practical implications, an understanding of how the various economic factors related to the pandemic influenced the behavior of qualified investors in different regions can help regulators, government leaders, fund managers, and investors deal with a future virus outbreak.

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Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX: A comparison between DCC, ADCC and GO-GARCH models

Cited by 11 publications

References 50 publications

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Islamic Stock Market Performance Pre-COVID-19: Empirical Evidence from Jakarta Islamic Index

Determinants of Qualified Investor Sentiment during the COVID-19 Pandemic in North America, Asia, and Europe

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