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dc.contributor.authorCorbet, Shaenen_NZ
dc.contributor.authorHou, Yang (Greg)en_NZ
dc.contributor.authorHu, Yangen_NZ
dc.contributor.authorOxley, Lexen_NZ
dc.date.accessioned2021-11-22T03:33:12Z
dc.date.available2021-11-22T03:33:12Z
dc.date.issued2022en_NZ
dc.identifier.issn0275-5319en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/14630
dc.description.abstractIn this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ratios, results indicate that the CSI300 spot index presents decreased effectiveness using the naïve hedging strategy; however, increased effectiveness of OLS and EC hedge ratios are identified. Differential behaviour is identified when considering five newly introduced COVID-19 concept-based stock indices. Time-varying hedge ratios indicate the weakened effectiveness, ranging between 20% and 40% variance reduction. Evidence suggests that the capability of the CSI300 index futures to hedge against the risks of the COVID-19 is impaired, regardless of whether constant or time-varying hedge ratios are used. Such results provide important implications to both local and foreign investors in the Chinese stock market.
dc.format.mimetypeapplication/pdf
dc.language.isoenen_NZ
dc.publisherElsevieren_NZ
dc.rights© 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
dc.subjectSocial Sciencesen_NZ
dc.subjectBusiness, Financeen_NZ
dc.subjectBusiness & Economicsen_NZ
dc.subjectCOVID-19en_NZ
dc.subjectHedge ratiosen_NZ
dc.subjectChinaen_NZ
dc.subjectFinancial marketsen_NZ
dc.subjectDiversificationen_NZ
dc.subjectAUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITYen_NZ
dc.subjectSTOCK INDEX FUTURESen_NZ
dc.subjectBIVARIATE GARCH ESTIMATIONen_NZ
dc.subjectEMPIRICAL-ANALYSISen_NZ
dc.subjectVOLATILITY SPILLOVERSen_NZ
dc.subjectEXCHANGE-RATESen_NZ
dc.subjectSHORT-RUNen_NZ
dc.subjectRATIOen_NZ
dc.subjectRISKen_NZ
dc.subjectPERFORMANCEen_NZ
dc.titleThe influence of the COVID-19 pandemic on the hedging functionality of Chinese financial marketsen_NZ
dc.typeJournal Article
dc.identifier.doi10.1016/j.ribaf.2021.101510en_NZ
dc.relation.isPartOfResearch in International Business and Financeen_NZ
pubs.elements-id264977
pubs.publication-statusAccepteden_NZ
pubs.volume59en_NZ
dc.identifier.eissn1878-3384en_NZ
uow.identifier.article-noARTN 101510


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