Corbet, ShaenHou, Yang (Greg)Hu, YangOxley, Les2021-11-222021-11-2220220275-5319https://hdl.handle.net/10289/14630In 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.application/pdfen© 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/).Social SciencesBusiness, FinanceBusiness & EconomicsCOVID-19Hedge ratiosChinaFinancial marketsDiversificationAUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITYSTOCK INDEX FUTURESBIVARIATE GARCH ESTIMATIONEMPIRICAL-ANALYSISVOLATILITY SPILLOVERSEXCHANGE-RATESSHORT-RUNRATIORISKPERFORMANCEJournal Article10.1016/j.ribaf.2021.1015101878-3384