Abstract

This study uses hourly data to analyse the return and volatility transmission of oil-gold and oil-Bitcoin pairs during the pre-COVID-19 and COVID-19 periods. The results show that the return transmissions vary across the two periods for both pairs. There is a unidirectional volatility spill-over from gold to oil in the pre-COVID-19 period, and from oil to gold during the COVID-19 period. There is a significant volatility spill-over from Bitcoin to oil during the pre-COVID-19 period, whereas no evidence of volatility spill-over between oil and Bitcoin is shown during the COVID-19 period. Based on optimal weights, investors should increase their investments in, (a) gold for a portfolio of oil-gold, and (b) Bitcoin for a portfolio of oil-Bitcoin during the COVID-19 period. All hedge ratios are higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. The results of hedging effectiveness reveal that the risk-adjusted returns can be improved by constructing a portfolio of oil-gold and oil-Bitcoin during both sample periods. Further results reveal that gold is a strong safe haven and a hedge for the oil market, while Bitcoin serves as a diversifier for the oil market during the COVID-19 period.

摘要

本研究使用每小时数据来分析在 COVID-19 和 COVID-19 之前的时期油-黄金和油-比特币对的回报和波动性传递。结果表明，两对的返回传输在两个周期内有所不同。在 COVID-19 之前的时期，从黄金到石油存在单向波动溢出效应，在 COVID-19 时期从石油到黄金存在单向波动溢出效应。在 COVID-19 之前的时期，从比特币到石油的波动性溢出显着，而在 COVID-19 时期，没有证据表明石油和比特币之间存在波动性溢出。基于最佳权重，投资者应在 COVID-19 期间增加对（a）黄金投资于石油-黄金投资组合，以及（b）比特币投资于石油-比特币投资组合。在 COVID-19 期间，所有对冲比率均较高，与 COVID-19 之前的时期相比，这意味着更高的对冲成本。对冲有效性的结果表明，通过在两个样本期间构建石油-黄金和石油-比特币的投资组合，可以提高风险调整后的收益。进一步的结果表明，黄金是石油市场的强大避风港和对冲工具，而比特币在 COVID-19 期间可作为石油市场的多元化工具。