Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities  

作　　者：Robiyanto Robiyanto Bayu Adi Nugroho Eka Handriani Andrian Dolfriandra Huruta 

机构地区：[1]Faculty of Economics and Business,Satya Wacana Christian University,Jl.Diponegoro 52-60,Salatiga 50711,Indonesia [2]Faculty of Economics and Business,Perbanas Institute,Jl.Perbanas,South Jakarta 12940,Indonesia [3]Faculty of Economics and Business,Darul Ulum Islamic Centre Sudirman University GUPPI,Jl.Tentara Pelajar No.13,Ungaran 50519,Indonesia [4]Chung Yuan Christian University,No.200,Zhongbei Road,Zhongli District,Taoyuan City,Taiwan 320

出　　处：《Financial Innovation》2020年第1期940-968,共29页金融创新（英文）

摘　　要：The previous studies have shown that capital market integration has increased in the ASEAN-5,implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages.To diversify their portfolios,equity investors must find other assets.The main focus of this research is to analyze the effectiveness of put replication,gold,and oil on hedge equities in the ASEAN-5(Indonesia,Malaysia,Singapore,Thailand,and the Philippines).Protective put strategy,DCC-GARCH,and Markowitz optimization are used to measure hedge effectiveness,risk-adjusted-performance such as Sharpe ratio,drawdown,and Omega ratio.The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations.Also,investors with big exposure to the oil-related portfolio should diversify to Philippine equity.From hedging effectiveness and risk-adjusted-performance perspectives,oil is less attractive than money market instruments and gold.This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.

关 键 词：DCC-GARCH GOLD OIL Minimum variance Portfolio insurance 

分 类 号：F42[经济管理—产业经济]