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.

中文翻译：

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美国各部门回报之间的相互联系：随时间变化的相互联系和对冲有效性

本研究考察了 2020 年 1 月至 2023 年 1 月美国九个部门回报之间随时间变化的不对称相互联系。为此，我们使用了 Adekoya 等人的时变参数向量自回归 (TVP-VAR) 非对称连通性方法。 （资源政策 77:102728, 2022a，资源政策 78:102877, 2022b）并分析了各部门随时间变化的发射/接收角色，考虑了溢出效应的积极和消极影响。我们进一步估计了两个爆发时间的负溢出网络（世界卫生组织分别于 2020 年 3 月 11 日宣布 COVID-19 大流行，以及俄罗斯-乌克兰战争于 2022 年 2 月 24 日爆发）。此外，我们进行了投资组合回测分析，以确定随时间变化的投资组合分配并对冲不同投资组合构建技术的有效性。我们的结果表明：（i）部门回报序列紧密相关，并且负溢出在研究期间占主导地位； (ii) 美国的行业回报对负面冲击更加敏感，特别是在爆发时期； (iii) 总体连通性指数、正连通性指数和负连通性指数于 2020 年 3 月 16 日达到最大值； (iv) 平均而言，工业部门是回归冲击的最大发射者/接收者； (v) 最小相关性和连通性投资组合方法可以稳健地捕获不对称性。我们的研究结果为投资者、投资组合经理和政策制定者提供了有关最佳投资组合策略和风险监管的建议。