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Searching hedging instruments against diverse global risks and uncertainties

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  • Hasan, Md. Bokhtiar
  • Kabir Hassan, M.
  • Gider, Zeynullah
  • Tahsin Rafia, Humaira
  • Rashid, Mamunur

Abstract

We evaluate the influence of five major risk and uncertainty factors on four asset classes. Our time-varying findings suggest that each asset hedges only a particular uncertainty factor, whereas gold does more than one factor, especially during COVID-19. Our frequency-based quantile regression (QR) results show that in the raw frequency, gold and Islamic stock can better hedge various uncertainty factors than Bitcoin and crude oil, depending on the market conditions. Additionally, using the frequency bands (e.g., short, medium, and long term) data, we further notice that, depending on the market circumstances and investment horizons, gold and Islamic stock returns are still better hedges for the various risks and uncertainties than Bitcoin and crude oil returns. Our findings have crucial risk and portfolio management implications for investors, portfolio managers, and policymakers.

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  • Hasan, Md. Bokhtiar & Kabir Hassan, M. & Gider, Zeynullah & Tahsin Rafia, Humaira & Rashid, Mamunur, 2023. "Searching hedging instruments against diverse global risks and uncertainties," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000165
    DOI: 10.1016/j.najef.2023.101893
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