PreprintArticleVersion 1Preserved in Portico This version is not peer-reviewed
Which Sectoral CDS Can Hedge More Effectively Conventional and Islamic Dow Jones Indices? Evidence from COVID-19 Outbreak and Bubble Crypto-Currency Periods
Version 1
: Received: 19 April 2024 / Approved: 22 April 2024 / Online: 22 April 2024 (09:57:48 CEST)
How to cite:
Zghal, R.; Souai, S.; Ghorbel, A.; Sayari, S. Which Sectoral CDS Can Hedge More Effectively Conventional and Islamic Dow Jones Indices? Evidence from COVID-19 Outbreak and Bubble Crypto-Currency Periods. Preprints2024, 2024041392. https://doi.org/10.20944/preprints202404.1392.v1
Zghal, R.; Souai, S.; Ghorbel, A.; Sayari, S. Which Sectoral CDS Can Hedge More Effectively Conventional and Islamic Dow Jones Indices? Evidence from COVID-19 Outbreak and Bubble Crypto-Currency Periods. Preprints 2024, 2024041392. https://doi.org/10.20944/preprints202404.1392.v1
Zghal, R.; Souai, S.; Ghorbel, A.; Sayari, S. Which Sectoral CDS Can Hedge More Effectively Conventional and Islamic Dow Jones Indices? Evidence from COVID-19 Outbreak and Bubble Crypto-Currency Periods. Preprints2024, 2024041392. https://doi.org/10.20944/preprints202404.1392.v1
APA Style
Zghal, R., Souai, S., Ghorbel, A., & Sayari, S. (2024). Which Sectoral CDS Can Hedge More Effectively Conventional and Islamic Dow Jones Indices? Evidence from COVID-19 Outbreak and Bubble Crypto-Currency Periods. Preprints. https://doi.org/10.20944/preprints202404.1392.v1
Chicago/Turabian Style
Zghal, R., Ahmed Ghorbel and Sonia Sayari. 2024 "Which Sectoral CDS Can Hedge More Effectively Conventional and Islamic Dow Jones Indices? Evidence from COVID-19 Outbreak and Bubble Crypto-Currency Periods" Preprints. https://doi.org/10.20944/preprints202404.1392.v1
Abstract
Our aim is at three feels: i) study safe haven properties of sectoral CDS; ii) study hedging effectiveness and measure the diversification benefits of introducing them in both Conventional and Islamic stock markets portfolios and iii) compare these results with VSTOXX, Gold and Bitcoin indices. To do this, we estimate time varying hedge ratio using (A)DCC and GOGARCH models and then deduce hedging effectiveness.. We follow the same methodology for each sub-period and each refit to test the effect of bubble crypto currency and COVID-19 pandemic on hedging effectiveness. Empirical results show the superiority of industrial CDS sectoral index to hedge both conventional and Islamic stock markets whether long or short term despite that their performances were reduced slightly during the second and third periods. VSTOXX and Others sectoral CDS indices offers Hedging performances that are generally better than Bitcoin and gold.
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
