The evaluation of time-varying hedging and portfolio decisions under Trump's tariff-induced volatility

Chin Cheong () and Nor Azliana Aridi ()
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Chin Cheong: Universiti Tunku Abdul Rahman, Malaysia and Sunway University, Malaysia
Nor Azliana Aridi: Faculty of Management, Multimedia University

Economics Bulletin, 2026, vol. 46, issue 3, 914 - 925

Abstract: The declaration of Trump's reciprocal global tariffs had a profound influence on global trade dynamics and triggered excessive volatility across global financial markets. The drastic imposition of tariffs has disrupted international supply chains, commodity flows, and additional risk perceptions in equity, commodity and currency markets. In this study, an asymmetric multivariate model is used to capture the negative economic shocks or policy tensions in volatility co-movements among equity (NASDAQ) and commodity markets (Gold Futures and Crude oil Futures). These estimation results are crucial in determining the dynamic hedge ratio and time-varying portfolio weight in designing effective hedging and optimal asset allocations. These indicators are important for market participants to plan their overall portfolio stability in the global trading environment.

Keywords: asymmetric multivariate model; Hedge Ratio; Portfolio Weight (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2026-09-30
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