What is it about?
In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a spillover framework.
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Why is it important?
Our research intends to provide adequate proof to address the following research questions: (1). What is the level of dynamic connectedness between private equities and other high-demand financial assets such as bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping? (2) Has COVID-19 increased volatility spillovers?(3). Can private equities hedge against the price volatility of the aforementioned assets? (4) Was the ability of private equity to hedge during the coronavirus epidemic strengthened or weakened?
Perspectives
The empirical findings indicate a modest degree of connectedness among the investigated markets, whereas volatility spillovers showed acceleration during tumultuous periods. In addition, we assess the capacity of private equities for hedging, for the whole sample period and during COVID-19 infectious disease, in order to suggest investors for potential portfolio restructures. Results demonstrate that the short position in the volatility of private equity ETF can result in strong hedging effectiveness for investors holding long positions in Bitcoin, shipping, bonds, and crude oil.
Dr Spyros Papathanasiou
National and Kapodistrian University of Athens
Read the Original
This page is a summary of: The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19, Australian Journal of Management, July 2023, SAGE Publications,
DOI: 10.1177/03128962231184658.
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