Searching Hedging Instruments Against Diverse Global Risks and Uncertainties

48 Pages Posted: 15 Aug 2022

See all articles by Md. Bokhtiar Hasan

Md. Bokhtiar Hasan

Islamic University

M. Kabir Hassan

University of New Orleans - College of Business Administration - Department of Economics and Finance

Humaira Tahsin Rafia

Department of Finance and Banking, Islamic University, Kushtia, Bangladesh

Md Mamunur Rashid

Department of Finance and Banking, Islamic University, Kushtia, Bangladesh

Abstract

We evaluate the influence of five major 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 quantile regression results show that gold and Islamic stock can better hedge various uncertainty factors than Bitcoin and crude oil, depending on the market conditions. Our overall findings suggest that gold and Islamic stock appear more resilient against studied uncertainties than Bitcoin and crude oil. Our findings have crucial risk and portfolio management implications for investors, portfolio managers, and policymakers.

Keywords: Uncertainty, Hedge, Safe-haven, Time-varying correlation, Quantile regression

Suggested Citation

Hasan, Md. Bokhtiar and Hassan, M. Kabir and Rafia, Humaira Tahsin and Rashid, Md Mamunur, Searching Hedging Instruments Against Diverse Global Risks and Uncertainties. Available at SSRN: https://ssrn.com/abstract=4164794

Md. Bokhtiar Hasan

Islamic University ( email )

M. Kabir Hassan (Contact Author)

University of New Orleans - College of Business Administration - Department of Economics and Finance ( email )

2000 Lakeshore Drive
New Orleans, LA 70148
United States

Humaira Tahsin Rafia

Department of Finance and Banking, Islamic University, Kushtia, Bangladesh ( email )

Kushtia, 7003
Bangladesh

Md Mamunur Rashid

Department of Finance and Banking, Islamic University, Kushtia, Bangladesh ( email )

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