BibTex RIS Cite

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

Year 2014, Volume: 4 Issue: 3, 327 - 336, 01.09.2014

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

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

Crude oil DCC model Hedge effectiveness Optimal portfolio

Year 2014, Volume: 4 Issue: 3, 327 - 336, 01.09.2014

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

Abstract

There are 0 citations in total.

Details

Other ID JA62DT24KY
Journal Section Research Article
Authors

Yen-Hsien Lee This is me

Ya-Ling Huang This is me

Chun-Yu Wu This is me

Publication Date September 1, 2014
Published in Issue Year 2014 Volume: 4 Issue: 3

Cite

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.
AMA 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. September 2014;4(3):327-336.
Chicago Lee, Yen-Hsien, Ya-Ling Huang, and Chun-Yu Wu. “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, no. 3 (September 2014): 327-36.
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 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, 2014.
ISNAD 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 4/3 (September 2014), 327-336.
JAMA 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, 2014, pp. 327-36.
Vancouver 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(3):327-36.