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Return and Volatility Transmission Between Oil Prices and Emerging Asian Markets
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Sang Hoon | - |
dc.contributor.author | Yoon, Seong-Min | - |
dc.date.accessioned | 2014-04-24T01:01:25Z | - |
dc.date.available | 2014-04-24T01:01:25Z | - |
dc.date.issued | 2013-12 | - |
dc.identifier.citation | Seoul Journal of Business, Vol.19 No.2, pp. 73-93 | - |
dc.identifier.issn | 1226-9816 | - |
dc.identifier.uri | https://hdl.handle.net/10371/91415 | - |
dc.description.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. | - |
dc.language.iso | en | - |
dc.publisher | College of Business Administration (경영대학) | - |
dc.subject | cross-market hedging | - |
dc.subject | oil price risk | - |
dc.subject | portfolio diversification | - |
dc.subject | spillovers | - |
dc.title | Return and Volatility Transmission Between Oil Prices and Emerging Asian Markets | - |
dc.type | SNU Journal | - |
dc.contributor.AlternativeAuthor | 강상훈 | - |
dc.contributor.AlternativeAuthor | 윤성민 | - |
dc.citation.journaltitle | Seoul Journal of Business | - |
dc.citation.endpage | 93 | - |
dc.citation.number | 2 | - |
dc.citation.pages | 73-93 | - |
dc.citation.startpage | 73 | - |
dc.citation.volume | 19 | - |
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