BibTex RIS Kaynak Göster

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

Yıl 2014, Cilt: 4 Sayı: 3, 327 - 336, 01.09.2014

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

Öz

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.

Anahtar Kelimeler

Crude oil DCC model Hedge effectiveness Optimal portfolio

Yıl 2014, Cilt: 4 Sayı: 3, 327 - 336, 01.09.2014

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

Öz

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Ayrıntılar

Diğer ID JA62DT24KY
Bölüm Araştırma Makalesi
Yazarlar

Yen-Hsien Lee Bu kişi benim

Ya-Ling Huang Bu kişi benim

Chun-Yu Wu Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 4 Sayı: 3

Kaynak Göster

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. Eylül 2014;4(3):327-336.
Chicago Lee, Yen-Hsien, Ya-Ling Huang, ve 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, sy. 3 (Eylül 2014): 327-36.
EndNote Lee Y-H, Huang Y-L, Wu C-Y (01 Eylül 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, ve C.-Y. Wu, “Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction”, IJEEP, c. 4, sy. 3, ss. 327–336, 2014.
ISNAD Lee, Yen-Hsien vd. “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 (Eylül 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 vd. “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, c. 4, sy. 3, 2014, ss. 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.