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Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies

Year 2014, Volume: 4 Issue: 3, 442 - 447, 01.09.2014

Sercan Demiralay Hatice Gaye Gencer

Abstract

This paper investigates the mechanisms of return and volatility transmissions between oil prices and five emerging market sector returns. For the empirical method, we utilize a recent and novel technique: Vector Autoregressive-Asymmetric GARCH (VAR-AGARCH) model. We find some significant cross shock and volatility linkages between oil prices and the sectors. However, our results manifest that the sector indices are not affected equally or simultaneously by movements in oil prices. Additionally, we compute the optimal holding weights and hedge ratios for the two-asset portfolio consisting of oil and each sector index. Our empirical findings have potential implications for investors and portfolio managers.

Keywords

Emerging sector indices oil prices volatility transmission optimal weights hedge ratios

Year 2014, Volume: 4 Issue: 3, 442 - 447, 01.09.2014

Sercan Demiralay Hatice Gaye Gencer

Abstract

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Details

Other ID JA68SF39GA
Journal Section Research Article
Authors

Sercan Demiralay This is me

Hatice Gaye Gencer This is me

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

Cite

APA Demiralay, S., & Gencer, H. G. (2014). Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. International Journal of Energy Economics and Policy, 4(3), 442-447.
AMA Demiralay S, Gencer HG. Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. IJEEP. September 2014;4(3):442-447.
Chicago Demiralay, Sercan, and Hatice Gaye Gencer. “Volatility Transmissions Between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies”. International Journal of Energy Economics and Policy 4, no. 3 (September 2014): 442-47.
EndNote Demiralay S, Gencer HG (September 1, 2014) Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. International Journal of Energy Economics and Policy 4 3 442–447.
IEEE S. Demiralay and H. G. Gencer, “Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies”, IJEEP, vol. 4, no. 3, pp. 442–447, 2014.
ISNAD Demiralay, Sercan - Gencer, Hatice Gaye. “Volatility Transmissions Between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies”. International Journal of Energy Economics and Policy 4/3 (September 2014), 442-447.
JAMA Demiralay S, Gencer HG. Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. IJEEP. 2014;4:442–447.
MLA Demiralay, Sercan and Hatice Gaye Gencer. “Volatility Transmissions Between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies”. International Journal of Energy Economics and Policy, vol. 4, no. 3, 2014, pp. 442-7.
Vancouver Demiralay S, Gencer HG. Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. IJEEP. 2014;4(3):442-7.