TY - JOUR
TI - Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach
AU - Papathanasiou, S.
AU - Vasiliou, D.
AU - Magoutas, A.
AU - Koutsokostas, D.
JO - Finance Research Letters
PY - 2022
VL - 44
TODO - null
SP - null
PB - ELSEVIER SCIENCE LTD.
SN - 1544-6123
TODO - 10.1016/j.frl.2021.102088
TODO - null
TODO - We examine the interaction between funds implementing hedge and merger arbitrage strategies and a set of traditional assets comprising equities, bonds, gold, crude oil, currency, commodities and real estate, by applying a time-varying spillover approach for the period 1/1/2010-7/31/2020. Results indicate that the funds absorb the fewest shocks from equities, crude oil, gold and currency compared to commodities, bonds and real estate. Furthermore, we test the effective hedging ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of the funds provides impeccable hedging effectiveness for all asset classes, except currency. © 2021
ER -