Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Eka, Handriani (2020) Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities. Financial Innovation.

	Text (Similarity) Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities.pdf Restricted to Registered users only Download (5MB)
	Text Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities (Naskah).pdf Restricted to Registered users only Download (3MB)
	Text Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities.pdf Restricted to Registered users only Download (729kB)

Abstract

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. Keywords: DCC-GARCH, Gold, Oil, Minimum variance, Portfolio insurance

Item Type:	Article
Subjects:	A General Works > AC Collections. Series. Collected works
Divisions:	Fakultas Ekonomi dan Bisnis
Depositing User:	Dr., MM. Eka Handriani
Date Deposited:	23 Dec 2020 09:54
Last Modified:	30 Jan 2021 02:55
URI:	http://repository.undaris.ac.id/id/eprint/123

Actions (login required)

View Item