Browsing by Author "Vo, Xuan Vinh"
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- Dependence and risk management of portfolios of metals and agricultural commodity futuresPublication . Hanif, Waqas; Mensi, Walid; Vo, Xuan Vinh; BenSaïda, Ahmed; Hernandez, Jose Arreola; Kang, Sang HoonThis paper examines the dependence structure and the portfolio allocation characteristics of a main industrial portfolio metals (gold, platinum, palladium, aluminum, silver, copper, zinc, lead, and nickel), and of an agricultural commodities portfolio (wheat, corn, soybeans, coffee, sugar cane, sugar beets, cocoa, cotton, and lumber). Our methodology is based on regular vine copulas and the conditional Value-at-Risk. The motivation to investigate the dependence structure and connectedness between agricultural, and metal commodities is to identify ways in which agricultural and metal commodities can hedge each other and to explore the possibilities of parallel investments. The results indicate that the dependence dynamics of the main metals portfolio are characterized by symmetric features. However, the dependence dynamics of the agricultural commodities portfolio are characterized by symmetric and asymmetric features; symmetric dynamics are predominant. Finally, the metal commodities portfolio is observed to be less risky for financial resource allocation during the global financial crisis.
- Spillovers and tail dependence between oil and US sectoral stock markets before and during COVID-19 pandemicPublication . Mensi, Walid; Hanif, Waqas; Bouri, Elie; Vo, Xuan VinhPurposeThis paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, telecommunication and utilities) before and during COVID-19 outbreak. This study is based on the rationale that stock sectors exhibit heterogeneity in their response to oil prices depending on whether they are classified as oil-intensive or non-oil-intensive sectors and the possible time variation in the dependence and risk spillover effects.Design/methodology/approachThe authors employ static and dynamic symmetric and asymmetric copula models as well as Conditional Value at Risk (VaR) (CoVaR). Finally, they use robustness tests to validate their results.FindingsBefore the COVID-19 pandemic, crude oil returns showed an asymmetric tail dependence with all stock sector returns, except health care and industrials (materials), where an average (symmetric tail) dependence is identified. During the COVID-19 pandemic, crude oil returns exhibit a lower tail dependency with the returns of all stock sectors, except financials and consumer discretionary. Furthermore, there is evidence of downside and upside risk asymmetric spillovers from crude oil to stock sectors and vice versa. Finally, the risk spillovers from stock sectors to crude oil are higher than those from crude oil to stock sectors, and they significantly increase during the pandemic.Originality/valueThere is heterogeneity in the linkages and the asymmetric bidirectional systemic risk between crude oil and US economic sectors during bearish and bullish market conditions; this study is the first to investigate the average and extreme tail dependence and asymmetric spillovers between crude oil and US stock sectors.
- Upside/downside spillovers between oil and Chinese stock sectors: from the global financial crisis to global pandemicPublication . Mensi, Walid; Hanif, Waqas; Vo, Xuan Vinh; Choi, Ki-Hong; Yoon, Seong-MinThis paper examines the effects of the COVID-19 outbreak, recent oil price fall, and both global and European financial crises on dependence structure and asymmetric risk spillovers between crude oil and Chinese stock sectors. Using time-varying symmetric and asymmetric copula functions and the conditional Value at Risk measure, we provide evidence of positive tail dependence in most sectors using copula and conditional Value-at-Risk techniques. We can see the average dependence between oil and industries during the oil crisis. Moreover, we find strong evidence of bidirectional risk spillovers for all oil-sector pairs. The intensity of risk spillovers from oil to all stock sectors varies across sectors. The risk spillovers from sectors to oil are substantially larger than those from oil to sectors during COVID-19. Furthermore, the return spillover is time varying and sensitive to external shocks. The spillover strengths are higher during COVID-19 than financial and oil crises. Finally, oil do not exhibit neither hedge nor safe-haven characteristics irrespective of crisis periods.