Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

How Do Managers Hedge Against Oil ETFs in the COVID-19 Pandemic?

Authors
Yuhan Gao1, , Yi Wang2, , Yongxi Wang3, *,
1Commerce, University of Toronto, Mississauga, L5B0K4, Canada
2D’Amore-McKim School of Business, Northeastern University, Boston, MA 02115, United States
3College of Letters and Science, University of California, Santa Barbara, CA 93106, United States

These authors contributed equally.

*Corresponding author. Email: Yongxi@ucsb.edu
Corresponding Author
Yongxi Wang
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.385How to use a DOI?
Keywords
COVID-19; crude oil; currency; gold; hedge
Abstract

During the COVID-19 pandemic, the oil price fluctuated significantly due to dramatic changes in oil supply and oil demand, which leads to high volatility in oil-related assets and induces an urgent need to alleviate risks. We use a market neutral strategy to assess the results of hedging against oil ETFs. By selecting several representative ETFs among currency ETFs and gold ETFs, we made trades with an oil ETF based on historical data, respectively. The results indicate that as signalled by positive return, hedging by selected ETFs indeed helps portfolio managers in managing risks of oil-related assets during the pandemic and using an Australian currency-related ETF to hedge against a crude oil ETF has the best performance, as indicated by the highest return, compared with other hedge tools in this paper. Meanwhile, the results provide portfolio managers with some thoughts on the selection or priority of hedging tools, that is, putting currencies-related ETFs in the first place and then commodities-related ETFs.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.385How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Yuhan Gao
AU  - Yi Wang
AU  - Yongxi Wang
PY  - 2021
DA  - 2021/12/15
TI  - How Do Managers Hedge Against Oil ETFs in the COVID-19 Pandemic?
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 2355
EP  - 2360
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.385
DO  - 10.2991/assehr.k.211209.385
ID  - Gao2021
ER  -