Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion

Yadav, Miklesh Prasad; Abedin, Mohammad Zoynul; Sinha, Neena; Arya, Vandana

doi:10.1016/j.ribaf.2023.102146

Cited by 11 publications

(1 citation statement)

References 61 publications

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“…Others focus on The Russia–Ukraine war (Ghorbali et al ., 2023; Ustaoglu, 2023; Karkowska and Urjasz, 2023; Adekoya et al ., 2022 and among others). Few studies have examined both crises when analyzing the relationships between commodities and financial markets (Lei et al ., 2023; karamati and Jeribi, 2023; Chen et al ., 2023; Yadav et al ., 2024).…”

Section: Introductionmentioning

confidence: 99%

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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