This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric ...This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.展开更多
文摘This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.
