Hedging against risks associated with travel and tourism stocks during COVID‐19 pandemic: The role of gold
研究黄金能否对冲新冠疫情对旅行与旅游类股票的风险，发现黄金在疫情期间是强对冲和避险资产，建议投资者在组合中加入黄金以改善风险调整后收益。
Abstract The global lockdowns including movement restrictions during COVID‐19 pandemic impacted the hospitality business negatively and by extension the trading of related stocks such as travel & tourism stocks. Owing to the long standing hedging potential of gold, we examine whether this potential can be extended to the travel & tourism stocks in order to hedge against the associated risks caused by the current pandemic. Using daily data from January 2016 to July 2020 and constructing optimal portfolio strategies, we find that gold serves as a very strong hedge and safe haven for travel & tourism stocks, most especially in the pandemic period. This conclusion validates the inclusion of gold in the diversified portfolio of travel & tourism stocks in order to improve the risk‐adjusted return performance for investors in the sector particularly during COVID‐19 pandemic.