The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19

【Author】 Papathanasiou, Spyros; Vasiliou, Dimitrios; Magoutas, Anastasios; Koutsokostas, Drosos

【Source】AUSTRALIAN JOURNAL OF MANAGEMENT

【影响因子】3.229

【Abstract】In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a spillover framework. For this objective, we apply the enhanced modification of the Diebold and Yilmaz approach for the period 1 January 2010 to 31 January 2023. The empirical findings indicate a modest degree of connectedness among the investigated markets, whereas volatility spillovers showed acceleration during tumultuous periods. In addition, we assess the capacity of private equities for hedging, for the whole sample period and during COVID-19 infectious disease, in order to suggest investors for potential portfolio restructures. Results demonstrate that the short position in the volatility of private equity ETF can result in strong hedging effectiveness for investors holding long positions in Bitcoin, shipping, bonds, and crude oil. JEL Classification: C32, C58, G11, G15

【Keywords】Alternative investments; Bitcoin; crude oil; gold; private equities; volatility spillovers

【发表时间】2023 2023 JUL 16

【收录时间】2023-08-03

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析