Informace o publikaci

Frequency volatility connectedness and portfolio hedging of US energy commodities

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KOČENDA Evžen MORAVCOVÁ Michala

Rok publikování 2024
Druh Článek v odborném periodiku
Časopis / Zdroj Research in International Business and Finance
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.sciencedirect.com/science/article/pii/S0275531924000679
Doi http://dx.doi.org/10.1016/j.ribaf.2024.102274
Klíčová slova connectednessvolatility spilloversfrequency decompositionportfolio weights and hedge ratiosenergy commoditiesdistress
Popis We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.

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