J 2024

Frequency volatility connectedness and portfolio hedging of US energy commodities

KOČENDA, Evžen and Michala MORAVCOVÁ

Basic information

Original name

Frequency volatility connectedness and portfolio hedging of US energy commodities

Authors

KOČENDA, Evžen and Michala MORAVCOVÁ

Edition

Research in International Business and Finance, Amsterdam, ELSEVIER, 2024, 0275-5319

Other information

Language

English

Type of outcome

Článek v odborném periodiku

Country of publisher

Netherlands

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

Impact factor

Impact factor: 6.500 in 2022

Organization unit

Faculty of Economics and Administration

DOI

UT WoS

001200031700001

Keywords in English

connectednessvolatility spilloversfrequency decompositionportfolio weights and hedge ratiosenergy commoditiesdistress

Tags

International impact, Reviewed
Změněno: 27/6/2024 10:02, Mgr. Alžběta Karolyiová

Abstract

V originále

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.