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

Yıl 2014, Cilt: 4 Sayı: 3, 442 - 447, 01.09.2014

Öz

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.

Yıl 2014, Cilt: 4 Sayı: 3, 442 - 447, 01.09.2014

Öz

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Ayrıntılar

Diğer ID JA68SF39GA
Bölüm Araştırma Makalesi
Yazarlar

Sercan Demiralay Bu kişi benim

Hatice Gaye Gencer Bu kişi benim

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

Kaynak Göster

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. Eylül 2014;4(3):442-447.
Chicago Demiralay, Sercan, ve 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, sy. 3 (Eylül 2014): 442-47.
EndNote Demiralay S, Gencer HG (01 Eylül 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 ve H. G. Gencer, “Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies”, IJEEP, c. 4, sy. 3, ss. 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 (Eylül 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 ve 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, c. 4, sy. 3, 2014, ss. 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.