Dynamic Returns Connectedness: Portfolio Hedging Implications During the COVID‐19 Pandemic and the Russia–Ukraine War
研究全球资产在COVID-19和俄乌战争期间的动态关联性变化，发现最小关联性投资组合表现更优，为投资者在危机中优化组合和对冲提供参考。
ABSTRACT We apply a Time‐Varying Parameter Vector Auto Regressive (TVP‐VAR) connectedness approach on global assets to investigate time‐varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID‐19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two events, we find the minimum correlation (connectedness) portfolio performing better during COVID‐19 and the Russia–Ukraine war and that cumulative returns of portfolios are higher during COVID‐19. Additionally, we find varying (stable) hedge effectiveness of equity market indices and soft commodities (cryptocurrencies). This paper provides specific insights to investors about using optimal portfolios and hedging during pandemics and military conflicts.