کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5107344 1481792 2017 40 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do commodities make effective hedges for equity investors?
ترجمه فارسی عنوان
آیا کالاها برای سرمایه گذاران سهام سرمایه گذاری موثر می کنند؟
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی
The purpose of this paper is to evaluate whether commodities are effective hedges for equity holders. We employ three different methodologies to calculate time varying hedge ratios. First, we examine time-varying hedge ratios and how much portfolio risk can be reduced relative to a long position in the S&P 500. We calculate hedge ratios from realized variances and covariances; second, we estimate a recursive multivariate GARCH (BEKK) model and calculate the hedge ratios from the estimated covariances; and thirdly, we calculate the hedge ratios by estimating recursive OLS regressions. The results of our paper are very clear. First, commodities are not effective hedges for the S&P 500. Equity market investors and asset managers looking for a way to manage and reduce portfolio risk will be well advised to search for alternative hedges for the S&P 500 than commodities. Second, our results do not support the claim that commodities were a good hedge for the equity market during the financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 42, December 2017, Pages 1274-1288
نویسندگان
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