COVID-19 pandemic and financial innovations
Quality & quantity
; : 1-20, 2022.
Article
in English
| EuropePMC | ID: covidwho-2058411
ABSTRACT
This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations captured in exchange traded funds (ETFs). We explore the hedging effectiveness of sectoral ETFs along with a battery of robustness measures. Following the predictability analyses, we find that financial innovations captured in ETFs can effectively hedge both pandemic-induced and financially engineered market risks especially after controlling for the role of oil price in the predictive model. Our model provides better in-sample and out-of-sample forecasting accuracy and economic gains than the benchmark model and this is more pronounced for the COVID-19 pandemic period.
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Collection:
Databases of international organizations
Database:
EuropePMC
Language:
English
Journal:
Quality & quantity
Year:
2022
Document Type:
Article
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