Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases

Imran Yousaf, Nadia Arfaoui and Mariya Gubareva

Research in International Business and Finance, 2024, vol. 69, issue C

Abstract: We examine the return and volatility transmission between oil and US equity sectors during three periods: the pre-COVID-19 phase, COVID-19 pre-vaccination phase, and COVID-19 post-vaccination phase. We show that the return and volatility spillovers between oil and US equity sectors vary across these three phases. The highest return connectedness is observed during the post-vaccination phase. The volatility spillover is highest from the majority of sectors to oil market in the COVID-19 pre-vaccination phase. The volatility transmission from oil to US equities during COVID-19 is weak. Moreover, our optimal weights estimations suggest that investors should decrease their exposures in US equities for the portfolio of oil-equity sectors in the COVID-19 post-vaccination phase. Finally, hedging cost is lowest, and hedging effectiveness is highest during the post-vaccination phase. Our findings provide valuable insights to portfolio managers and investors regarding portfolio diversification, hedging, and forecasting during health crises and subsequent recovery phases.

Keywords: Spillovers; Hedging Effectiveness; Oil; Equity Sectors; COVID-19; COVID-Vaccination (search for similar items in EconPapers)
JEL-codes: C13 C53 G10 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531923003306
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531923003306

DOI: 10.1016/j.ribaf.2023.102204

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().