Maqola

The hedge asset for BRICS stock markets: Bitcoin, gold or VIX

Syed Jawad Hussain ShahzadMontpellier Business School University of Montpellier, Montpellier Research in Management Montpellier FranceElie BouriAdnan Kassar School of Business Lebanese American University Beirut LebanonMobeen Ur RehmanMontpellier Business School University of Montpellier, Montpellier Research in Management Montpellier FranceDavid RoubaudMontpellier Business School University of Montpellier, Montpellier Research in Management Montpellier France

2021en

ABI

Annotatsiya

Abstract We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross‐quantilogram approach indicate that bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of bitcoin, gold and VIX futures has a time‐varying hedging role in some BRICS countries, which has been shaped by the COVID‐19 outbreak. Results from the conditional diversification benefits show appealing roles for the three alternative assets for investors in BRICS stock markets. However, gold appears to have higher and more stable diversification benefits in China, especially during the COVID‐19 outbreak. Conversely, VIX futures offer higher diversification benefits in Brazil, Russia, India and South Africa during the abrupt of the COVID‐19 outbreak.

Hali tarjima qilinmagan

Identifikatorlar

DOI: 10.1111/twec.13138

Iqtiboslar va manbalar

2 ta iqtibos0 ta foydalanilgan manba

Koʻrsatkichlar — AkademScholar