COVID-19 pandemic and financial innovations
| dc.contributor.author | Salisu, Afees A. | |
| dc.contributor.author | Sikiru, Abdulsalam Abidemi | |
| dc.contributor.author | Omoke, Philip C. | |
| dc.date.accessioned | 2023-01-17T13:09:08Z | |
| dc.date.issued | 2023-08 | |
| dc.description.abstract | This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations captured in exchange traded funds (ETFs). We explore the hedging effectiveness of sectoral ETFs along with a battery of robustness measures. Following the predictability analyses, we find that financial innovations captured in ETFs can effectively hedge both pandemic-induced and financially engineered market risks especially after controlling for the role of oil price in the predictive model. Our model provides better in-sample and out-of-sample forecasting accuracy and economic gains than the benchmark model and this is more pronounced for the COVID-19 pandemic period. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.embargo | 2023-10-06 | |
| dc.description.librarian | hj2023 | en_US |
| dc.description.uri | http://link.springer.com/journal/11135 | en_US |
| dc.identifier.citation | Salisu, A.A., Sikiru, A.A. & Omoke, P.C. COVID-19 pandemic and financial innovations. Quality & Quantity 57, 3885–3904 (2023). https://doi.org/10.1007/s11135-022-01540-4. | en_US |
| dc.identifier.issn | 0033-5177 (print) | |
| dc.identifier.issn | 1573-7845 (online) | |
| dc.identifier.other | 10.1007/s11135-022-01540-4 | |
| dc.identifier.uri | https://repository.up.ac.za/handle/2263/88865 | |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.rights | © The Author(s), under exclusive licence to Springer Nature B.V. 2022. The original publication is available at : http://link.springer.comjournal/11135. | en_US |
| dc.subject | COVID-19 pandemic | en_US |
| dc.subject | Coronavirus disease 2019 (COVID-19) | en_US |
| dc.subject | Pandemic, hedge | en_US |
| dc.subject | Financial innovation | en_US |
| dc.subject | Exchange traded funds (ETFs) | en_US |
| dc.subject | Predictability | en_US |
| dc.title | COVID-19 pandemic and financial innovations | en_US |
| dc.type | Postprint Article | en_US |