Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets different financial variables commodities during pre-COVID-19 COVID-19 crisis, using daily data multivariate GARCH models. Our results indicate that risk spillover has reached highest level period, compared pre-COVID which means pandemic enforced remains assets. We confirm economic benefit of in both tranquil crisis periods (e.g., a negative dynamic conditional correlation VIX SP500). Moreover, hedging analysis exhibits Dow Jones Islamic effectiveness either before or recent COVID19 offering better resistance uncertainty caused by unpredictable turmoil such as outbreak. finding may have some implications for portfolio managers investors reduce their exposure construction.