Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction

Yen-Hsien Lee; Ya-Ling Huang; Chun-Yu Wu

Makale detayları

Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction

Yazarlar:

Yen-Hsien Lee | Ya-Ling Huang | Chun-Yu Wu

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Energy Economics and Policy 2014 Vol.4 Issue 3, pp.327-336

Belge Tipi:

Makale

Yayın Tarihi:

8/2014

Belge Dili:

Türkçe

Document ID (Org No.):

2000816665

Sıklık:

İki Aylık

eISSN:

2146-4553

Özet:

 

This paper researches the portfolio construction between stock price of group of seven (G7) and West Texas Intermediate crude oil from January 2, 1998 to March 1, 2012. We investigate the volatility spillover between stock price and oil price with the dynamic conditional correlation (DCC), constant conditional correlation (CCC) and BEKK models, and also analyze their optimal hedge ratio and portfolio weights. The empirical result is that the hedge effectiveness of DCC model is better than the CCC model and BEKK models. The hedge effectiveness (HE) in Canada is the highest but Japan is the lowest. Moreover, the results show that Japan has the biggest optimal portfolio weight and the lowest hedge ratio. We do this research with expectation of providing investors information to increase the basis of investing.

Makale detayları

Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction

Yazarlar: Yen-Hsien Lee | Ya-Ling Huang | Chun-Yu Wu

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Energy Economics and Policy 2014 Vol.4 Issue 3, pp.327-336

Belge Tipi: Makale

Yayın Tarihi: 8/2014

Belge Dili: Türkçe

Document ID (Org No.): 2000816665

Sıklık: İki Aylık

eISSN: 2146-4553

Sayı

Yazarlar:

Yen-Hsien Lee | Ya-Ling Huang | Chun-Yu Wu

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Energy Economics and Policy 2014 Vol.4 Issue 3, pp.327-336

Belge Tipi:

Makale

Yayın Tarihi:

8/2014

Belge Dili:

Türkçe

Document ID (Org No.):

2000816665

Sıklık:

İki Aylık

eISSN:

2146-4553