Dynamic return connectedness between commodities and travel & leisure ETFs: Investment strategies and portfolio implications

Chunlin Lang, Yang Hu, Shaen Corbet and John W. Goodell

Finance Research Letters, 2023, vol. 58, issue PB

Abstract: Examining return connectedness between the largest US-based oil and gold ETFs and three major travel & leisure ETFs, we provide substantial value for understanding how investors can diversify sectoral risk. We also compare several portfolio strategies to explore interactive effects. Results indicate a high level of interdependence between gold, oil and the examined ETFs, where the minimum variance portfolio (MVP) is found to be the most efficient. Robustness testing reaffirms the finding that the gold ETF is an important portfolio rebalancing tool to specifically minimise risks associated with travel-related ETFs. Our results have important implications for investors and portfolio managers.

Keywords: Commodities; Travel and leisure; Exchange traded funds; Dynamic connectedness; Portfolio diversification (search for similar items in EconPapers)
JEL-codes: C32 C58 G11 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007432

DOI: 10.1016/j.frl.2023.104371

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