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• W2988316857 abstract "Abstract This paper investigates whether global sectors could act as effective hedges for emerging and developed market equities. By comparing the hedging performance of the Global Energy, Financials, Industrials, and Technologies ETFs, we find that the Global Financials ETF (the Global Industrials ETF) is the most desirable hedge for the emerging/BRIC countries ETF (the developed countries ETF). These two sector ETFs provide even higher hedging effectiveness in the crisis period than in the normal period. An evaluation of the hedging effectiveness produced by the DCC, ADCC, and GO-GARCH models suggests that the ADCC model performs best during the crisis period, while the more parsimonious DCC model performs as well as the ADCC model over a longer horizon including both normal and crisis times. These findings have important implications for managing and reducing the systematic risk of equity portfolios." @default.
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• W2988316857 date "2020-03-01" @default.
• W2988316857 modified "2023-10-14" @default.
• W2988316857 title "The hedging effectiveness of global sectors in emerging and developed stock markets" @default.
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• W2988316857 doi "https://doi.org/10.1016/j.iref.2019.11.001" @default.
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