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Return and Volatility Transmission Between Oil Prices and Emerging Asian Markets

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Authors

Kang, Sang Hoon; Yoon, Seong-Min

Issue Date
2013-12
Publisher
College of Business Administration (경영대학)
Citation
Seoul Journal of Business, Vol.19 No.2, pp. 73-93
Keywords
cross-market hedgingoil price riskportfolio diversificationspillovers
Abstract
We investigated return and volatility transmission between oil futures

prices and ten Asian emerging indices using a VAR-bivariate GARCH model.

We also analyzed the optimal weights and hedge ratios for optimizing

portfolios to minimize the exposure to risk associated with oil futures price

changes. We found no significant influence of oil futures price returns on

Asian stock returns. However, strong volatility spillover was observed from

oil futures price shocks and volatility to counterpart volatilities. In addition,

optimal weights and hedge ratios suggested that incorporating the oil asset

in a well-diversified portfolio effectively hedged the risks associated with oil

price volatility.
ISSN
1226-9816
Language
English
URI
https://hdl.handle.net/10371/91415
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Seoul Journal of Business (SJB)Seoul Journal of Business Volume 19, Number 1/2 (2013)
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