The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other assets. The main focus of this research is to analyze the effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines). Protective put strategy, DCC-GARCH, and Markowitz optimization are used to measure hedge effectiveness, risk-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations. Also, investors with big exposure to the oil-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is less attractive than money market instruments and gold. This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.

中文翻译：

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看跌期权复制、黄金和石油对东盟 5 国股票的对冲有效性

以往的研究表明，东盟五国资本市场一体化程度有所提高，这意味着投资者在东盟资本市场上进行多元化投资只能获得有限的多元化优势。为了分散投资组合，股票投资者必须寻找其他资产。本研究的主要重点是分析看跌期权复制、黄金和石油对东盟 5 国（印度尼西亚、马来西亚、新加坡、泰国和菲律宾）对冲股票的有效性。保护性看跌策略、DCC-GARCH 和 Markowitz 优化用于衡量对冲有效性、风险调整后的表现，例如夏普比率、回撤和 Omega 比率。结果表明，黄金是比石油更便宜的对冲策略，与石油出口国相比，东盟 5 国的石油对冲策略更昂贵。还，对石油相关投资组合有大量敞口的投资者应分散投资于菲律宾股票。从对冲有效性和风险调整后的表现来看，石油的吸引力不如货币市场工具和黄金。这项研究还暗示，与商品对冲策略相比，规避风险的投资者应该更愿意选择复制或有保证的金融产品。