Hedging Effectiveness of Currency ETFs Against WTI Crude Oil Price Fluctuations
Naeem, Muhammad; Ahmed, Sheraz (2022-01-01)
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Sisältö avataan julkiseksi: 02.01.2024
Sisältö avataan julkiseksi: 02.01.2024
Post-print / Final draft
Naeem, Muhammad
Ahmed, Sheraz
01.01.2022
415
189-216
Springer, Cham
Studies in Fuzziness and Soft Computing
School of Business and Management
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© 2022 The Author(s), under exclusive license to Springer Nature Switzerland AG
© 2022 The Author(s), under exclusive license to Springer Nature Switzerland AG
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2022042831082
https://urn.fi/URN:NBN:fi-fe2022042831082
Tiivistelmä
In this study, hedging effectiveness of 10 currencies ETFs over the crude oil price fluctuations have been tested using symmetric and asymmetric dependence structure. We use ARMA-EGARCH model to obtain margins that are utilized in both static, and time-varying copulas to examine the static and time-varying dependence. Particularly, four static copulas (Student–t, Clayton, Frank, and Gumbel) and two time-varying copulas (Normal, and SJC) are used to explore both average and extreme dependence between 10 currency exchange-traded funds and the WTI crude oil. Our findings suggest that Invesco DB US Dollar Index Bullish fund (UUP) provides the strongest hedging effectiveness against crude oil price volatility both in average and extreme dependence scenarios. Whereas WisdomTree Bloomberg US Dollar Bullish Fund (USDU) and Invesco Currency Shares Japanese Yen Trust (FXY) appeared to behave as safe havens against crude oil prices as shown by significant extreme dependence parameters during bearish periods. Moreover, Invesco DB US Dollar Index Bearish Fund (UDN) is shown to be a good safe haven in the time of stress. Further, the remaining six ETFs are found to be positively linked with crude oil prices showing significant upper and lower tail dependence.
Lähdeviite
Naeem, M., Ahmed, S. (2022). Hedging Effectiveness of Currency ETFs Against WTI Crude Oil Price Fluctuations. In: Luukka, P., Stoklasa, J. (eds) Intelligent Systems and Applications in Business and Finance. Studies in Fuzziness and Soft Computing, vol 415. Springer, Cham. https://doi.org/10.1007/978-3-030-93699-0_8
Alkuperäinen verkko-osoite
https://link.springer.com/chapter/10.1007/978-3-030-93699-0_8Kokoelmat
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