Simple item page
 

To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk

cris.virtual.author-orcid0000-0001-7655-6046
cris.virtual.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtual.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.author-orcida7f0f1aa-ae71-4fd2-9b4b-6277b57acdc3
cris.virtualsource.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
dc.abstract.enThe article aims to determine whether any hedging strategy against stock market risk, performed using instruments popular in the literature (gold, cryptocurrencies and oil), can beat index futures. As a hedging strategy, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark, we analyse optimal and naive hedging strategies with futures contracts. We demonstrate that, regardless of the stock market, the best hedging strategy focused on variance minimisation requires using index futures. Both strategies: the optimisation-based one and the naive one, beat the dynamic strategies utilising the remaining hedging assets. Therefore, from a risk-minimisation point of view, investors have no motivation to implement cryptocurrencies, gold or oil in hedging strategy against stock market risk. The results are robust with respect to hedging against tail risk.
dc.affiliationWydział Ekonomiczny
dc.affiliation.instituteKatedra Finansów i Rachunkowości
dc.contributor.authorEchaust, Krzysztof
dc.contributor.authorJust, Małgorzata
dc.contributor.authorKliber, Agata
dc.date.accessioned2025-07-30T11:45:46Z
dc.date.available2025-07-30T11:45:46Z
dc.date.issued2024
dc.description.bibliographyil., bibliogr.
dc.description.financepublication_nocost
dc.description.financecost0,00
dc.description.if9,8
dc.description.numberJuly 2024
dc.description.points100
dc.description.volume94
dc.identifier.doi10.1016/j.irfa.2024.103292
dc.identifier.eissn1873-8079
dc.identifier.issn1057-5219
dc.identifier.urihttps://sciencerep.up.poznan.pl/handle/item/4029
dc.languageen
dc.relation.ispartofInternational Review of Financial Analysis
dc.relation.pagesart. 103292
dc.rightsClosedAccess
dc.sciencecloudsend
dc.subject.enhedge
dc.subject.enhedging effectiveness
dc.subject.engold
dc.subject.enoil
dc.subject.encryptocurrency
dc.subject.enfutures contract
dc.titleTo hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk
dc.typeJournalArticle
dspace.entity.typePublication
oaire.citation.volume94