EN
Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction
Abstract
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.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
September 1, 2014
Submission Date
September 1, 2014
Acceptance Date
-
Published in Issue
Year 2014 Volume: 4 Number: 3
APA
Lee, Y.-H., Huang, Y.-L., & Wu, C.-Y. (2014). Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction. International Journal of Energy Economics and Policy, 4(3), 327-336. https://izlik.org/JA65UH36CP
AMA
1.Lee YH, Huang YL, Wu CY. Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction. IJEEP. 2014;4(3):327-336. https://izlik.org/JA65UH36CP
Chicago
Lee, Yen-Hsien, Ya-Ling Huang, and Chun-Yu Wu. 2014. “Dynamic Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction”. International Journal of Energy Economics and Policy 4 (3): 327-36. https://izlik.org/JA65UH36CP.
EndNote
Lee Y-H, Huang Y-L, Wu C-Y (September 1, 2014) Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction. International Journal of Energy Economics and Policy 4 3 327–336.
IEEE
[1]Y.-H. Lee, Y.-L. Huang, and C.-Y. Wu, “Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction”, IJEEP, vol. 4, no. 3, pp. 327–336, Sept. 2014, [Online]. Available: https://izlik.org/JA65UH36CP
ISNAD
Lee, Yen-Hsien - Huang, Ya-Ling - Wu, Chun-Yu. “Dynamic Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction”. International Journal of Energy Economics and Policy 4/3 (September 1, 2014): 327-336. https://izlik.org/JA65UH36CP.
JAMA
1.Lee Y-H, Huang Y-L, Wu C-Y. Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction. IJEEP. 2014;4:327–336.
MLA
Lee, Yen-Hsien, et al. “Dynamic Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction”. International Journal of Energy Economics and Policy, vol. 4, no. 3, Sept. 2014, pp. 327-36, https://izlik.org/JA65UH36CP.
Vancouver
1.Yen-Hsien Lee, Ya-Ling Huang, Chun-Yu Wu. Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction. IJEEP [Internet]. 2014 Sep. 1;4(3):327-36. Available from: https://izlik.org/JA65UH36CP