Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict

被引:4
|
作者
Ben Amar, Amine [1 ]
Bouattour, Mondher [2 ,3 ]
Bellalah, Makram [4 ]
Goutte, Stephane [5 ,6 ]
机构
[1] Mohammed VI Polytech Univ, Africa Business Sch, Rabat, Morocco
[2] Univ Toulouse, Excelia Business Sch, Toulouse, France
[3] Univ Toulouse, LGTO, Toulouse, France
[4] Univ Picardie Jules Verne, Lab Econ Finance Management & Innovat LEFMI UR 42, Amiens, France
[5] Paris Saclay Univ, UMI SOURCE, Paris, France
[6] Paris Sch Business PSB, Paris, France
关键词
Shift contagion; Diversification; Minimum-causal intensity portfolio; Clean energy; Financial market; Cryptocurrencies; Socially responsible investment; VOLATILITY SPILLOVERS; STOCK MARKETS; CRUDE-OIL; WELFARE-STATE; TIME-SERIES; UNIT-ROOT; DCC; TRANSMISSION; PRICES; CRISIS;
D O I
10.1016/j.frl.2023.103853
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal intensity. During the COVID-19 crisis period, the shift contagion analysis not only reveal a tripling of the causal links between the markets studied, but also a change in the causal structure. Beyond the initial impact of the COVID-19 crisis on financial markets, policy interventions seem to have helped in reassuring market participants that the further spread of financial stress would be mitigated. However, the Russian-Ukrainian conflict, and the high degree of uncertainty it entailed, has again exacerbated the interdependencies between financial markets. In terms of portfolio analysis, our minimum-causal-intensity approach records a lower (respectively higher) reward-to-volatility ratio than the Markowitz (1952 & 1959) minimum-variance traditional approach during the pre-COVID-19 (respectively pre-war) period. On the other hand, both approaches, the one we propose in this paper and the minimum-variance approach, record negative reward-to-volatility ratios during crisis periods.
引用
收藏
页数:17
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