Financial and energy exchange traded funds futures: an evidence of spillover and portfolio hedging

This paper examines spillover from financial exchange-traded funds (ETF) futures to energy ETF futures using adjusted daily data extending from April 2, 2009, to November 23, 2020. We also explore the portfolio hedging-based conditional variance and co-variance derived from dynamic conditional corre...

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Vydané v:	Annals of operations research Ročník 333; číslo 1; s. 501 - 516
Hlavní autori:	Yadav, Miklesh Prasad, Bhatia, Shikha, Singh, Nidhi, Islam, Md Tarikul
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.02.2024 Springer Springer Nature B.V
Predmet:	Analysis Business and Management Causality Combinatorics Crude oil Exchange traded funds Futures Hedging Hedging (Finance) Natural gas Operations Research/Decision Theory Original Research Theory of Computation India Energy ETF Spillover Financial ETF Portfolio hedging Dynamic connectedness
ISSN:	0254-5330, 1572-9338
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Abstract	This paper examines spillover from financial exchange-traded funds (ETF) futures to energy ETF futures using adjusted daily data extending from April 2, 2009, to November 23, 2020. We also explore the portfolio hedging-based conditional variance and co-variance derived from dynamic conditional correlation. The proxies for the financial ETF futures are financial select sector SPDR fund (XLF) and generic 1st S&P 500 index futures (SP1) while generic 1st crude oil WTI futures (CL1), generic 1st natural gas futures (NG1), and energy select SPDR fund (XLE) are proxies of energy ETF futures. The results obtained from Granger causality indicate that there is unidirectional causality from RXLF to RSP1 while bidirectional causality between RXLF and RCL1 at a 5% significance level. Further, dynamic conditional correlation indicates the spillover effect from RXLF to RCL1, RXLF to RXLE, RSP1 to RCL1, and RSP1 to RXLE both in the short-run and long run. The spillover from RXLF to RNG1 is witnessed only in the short run while the spillover from RSP1 to RNG1 is present in long run. The present study corroborates with the studies of Chang et al. (Int J Finan Stud 6(2): 1–24, 2018) and Lau et al. (Int Rev Finan Anal 52: 316-332, 2017). We notice that the average optimal hedge ratio of the RXLF/RNG1 pair is the most expensive while the cheapest hedging strategy is of RSP1/RCL1 pair.
AbstractList	This paper examines spillover from financial exchange-traded funds (ETF) futures to energy ETF futures using adjusted daily data extending from April 2, 2009, to November 23, 2020. We also explore the portfolio hedging-based conditional variance and co-variance derived from dynamic conditional correlation. The proxies for the financial ETF futures are financial select sector SPDR fund (XLF) and generic 1st S&P 500 index futures (SP1) while generic 1st crude oil WTI futures (CL1), generic 1st natural gas futures (NG1), and energy select SPDR fund (XLE) are proxies of energy ETF futures. The results obtained from Granger causality indicate that there is unidirectional causality from RXLF to RSP1 while bidirectional causality between RXLF and RCL1 at a 5% significance level. Further, dynamic conditional correlation indicates the spillover effect from RXLF to RCL1, RXLF to RXLE, RSP1 to RCL1, and RSP1 to RXLE both in the short-run and long run. The spillover from RXLF to RNG1 is witnessed only in the short run while the spillover from RSP1 to RNG1 is present in long run. The present study corroborates with the studies of Chang et al. (Int J Finan Stud 6(2): 1–24, 2018) and Lau et al. (Int Rev Finan Anal 52: 316-332, 2017). We notice that the average optimal hedge ratio of the RXLF/RNG1 pair is the most expensive while the cheapest hedging strategy is of RSP1/RCL1 pair.
Audience	Academic
Author	Bhatia, Shikha Singh, Nidhi Islam, Md Tarikul Yadav, Miklesh Prasad
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CitedBy_id	crossref_primary_10_1016_j_finr_2025_100021 crossref_primary_10_1108_BIJ_11_2022_0727 crossref_primary_10_1002_fut_22608 crossref_primary_10_1007_s10614_023_10523_y crossref_primary_10_1016_j_jenvman_2024_123738 crossref_primary_10_1016_j_ins_2025_122043 crossref_primary_10_1016_j_resourpol_2024_104853 crossref_primary_10_3390_su162210049 crossref_primary_10_1007_s10479_024_06030_4 crossref_primary_10_1108_JAOC_01_2024_0041 crossref_primary_10_1108_JIMA_01_2024_0048 crossref_primary_10_3390_en17235929 crossref_primary_10_1007_s10690_023_09443_6 crossref_primary_10_1016_j_eneco_2024_108060
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Snippet	This paper examines spillover from financial exchange-traded funds (ETF) futures to energy ETF futures using adjusted daily data extending from April 2, 2009,...
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SubjectTerms	Analysis Business and Management Causality Combinatorics Crude oil Exchange traded funds Futures Hedging Hedging (Finance) Natural gas Operations Research/Decision Theory Original Research Theory of Computation
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Title	Financial and energy exchange traded funds futures: an evidence of spillover and portfolio hedging
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