Scholarlink

<p>This study investigates the effectiveness of gold, oil, and cryptocurrencies as hedges for MENA stock markets during periods of significant financial turmoil, including the COVID-19 pandemic and the Russia–Ukraine war. Given the increasing volatility and global integration of these markets, understanding the role of alternative assets in risk mitigation is crucial for investors. We employ a suite of multivariate GARCH models, including the DCC, ADCC, and GO–GARCH models, to analyze the dynamic correlations between daily data of MENA stock indices, gold, oil, and cryptocurrencies (Bitcoin, Ethereum, and Tether) from March 2016 to December 2024. The study calculates hedge ratios, optimal weights, and evaluates the hedging effectiveness of each asset. The results consistently reveal that gold and oil serve as effective hedges for MENA stock indices, particularly during times of crisis. Cryptocurrencies show varying degrees of hedging effectiveness, with Tether emerging as the most reliable hedge during crises, whereas Bitcoin and Ethereum exhibit less stable hedging properties. This research contributes to the literature on investment risk management and portfolio construction by providing empirical evidence on the hedging roles of these assets, offering valuable insights for investors and portfolio managers seeking robust risk mitigation strategies in a volatile global economy.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Hedging MENA stock markets with gold, oil, and cryptocurrencies: evidence from the COVID-19 pandemic and Russia–Ukraine war periods

  • 期刊论文

  • 发表日期：

    2025年11月18日

查看全文
  • Hicham Ouakil,
  • Salah Eddine Kartobi,
  • Zakaria Salhi,
  • Zineb Elhachimi

摘要

This study investigates the effectiveness of gold, oil, and cryptocurrencies as hedges for MENA stock markets during periods of significant financial turmoil, including the COVID-19 pandemic and the Russia–Ukraine war. Given the increasing volatility and global integration of these markets, understanding the role of alternative assets in risk mitigation is crucial for investors. We employ a suite of multivariate GARCH models, including the DCC, ADCC, and GO–GARCH models, to analyze the dynamic correlations between daily data of MENA stock indices, gold, oil, and cryptocurrencies (Bitcoin, Ethereum, and Tether) from March 2016 to December 2024. The study calculates hedge ratios, optimal weights, and evaluates the hedging effectiveness of each asset. The results consistently reveal that gold and oil serve as effective hedges for MENA stock indices, particularly during times of crisis. Cryptocurrencies show varying degrees of hedging effectiveness, with Tether emerging as the most reliable hedge during crises, whereas Bitcoin and Ethereum exhibit less stable hedging properties. This research contributes to the literature on investment risk management and portfolio construction by providing empirical evidence on the hedging roles of these assets, offering valuable insights for investors and portfolio managers seeking robust risk mitigation strategies in a volatile global economy.