Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

ความสามารถในการป้องกันความเสี่ยงของกองทุนรวมดัชนีหุ้นเทคโนโลยีต่อตลาดเกิดใหม่ในเอเชีย

Year (A.D.)

2021

Document Type

Independent Study

First Advisor

Anirut Pisedtasalasai

Faculty/College

Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline

Finance

DOI

10.58837/CHULA.IS.2021.81

Abstract

This study examines the role of hedge and safe haven of four disruptive technology ETFs to six Asia emerging markets and assess whether if COVID-19 pandemic has altered the dynamic conditional correlations and hedge effectiveness between these assets. Using daily return data from February 23, 2018 to January 28, 2022, first, the results indicate that despite the outperformance of disruptive technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a hedge or safe haven property against Asia emerging market downturns as their returns were still positively correlated. They can only be used as diversifier tools to the Asia emerging markets. Second, the changes in the dynamic conditional correlations between the ETFs and Asia emerging markets were identified in which majority of the ETFs were found to have higher correlations with the emerging markets during COVID-19 period. This implies that the optimal hedge ratio or hedging cost between these assets were increased during the pandemic. Third, this study found that the disruptive technology ETFs can provide higher hedge effectiveness against Asia emerging markets during COVID-19 period than normal period due to shorting a unit of the ETF can reduce variance of the long-only portfolio in Asia emerging market by larger magnitude. Hence, these ETFs can be used as hedging tools to minimize the risk of Asia emerging market portfolio. This study provides insights for investors to formulate hedging strategies and determine portfolio diversification by thematic technology ETFs.

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