ArticleResearch in international business and finance2022
The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets.
Article in Research in international business and finance, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 3 papers.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
The trial behind it
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Who cites it
3 citing papers in PubMed.
- Article
- Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries.Financial innovation · 2023Article
- Information disclosure of COVID-19 specific medicine and stock price crash risk in China.Finance research letters · 2022Article
Corrections and comments
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Authors and funding
4 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ratios, results indicate that the CSI300 spot index presents decreased effectiveness using the naïve hedging strategy; however, increased effectiveness of OLS and EC hedge ratios are identified. Differential behaviour is identified when considering five newly introduced COVID-19 concept-based stock indices. Time-varying hedge ratios indicate the weakened effectiveness, ranging between 20% and 40% variance reduction. Evidence suggests that the capability of the CSI300 index futures to hedge against the risks of the COVID-19 is impaired, regardless of whether constant or time-varying hedge ratios are used. Such results provide important implications to both local and foreign investors in the Chinese stock market.
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