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Can stock market investors hedge energy risk? Evidence from Asia

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  • Batten, Jonathan A.
  • Kinateder, Harald
  • Szilagyi, Peter G.
  • Wagner, Niklas F.

Abstract

​The relationship between energy and stock prices is investigated in the context of Asia, including China and Japan. Oil, gas and coal prices are considered both individually and as an energy portfolio. Consistent with evidence from international markets, during the post Global Financial Crisis (GFC) period, Asian stock markets moved in tandem with oil prices. However, using asset pricing and portfolio theory, we identify a time-varying integration between individual stock markets and the energy portfolio, which in turn may limit the benefit of risk reduction through diversification. This relation can also be used to hedge the common factor arising from energy risk. Doing so provides benefits to investors in the form of positive time-varying risk adjusted returns.

Suggested Citation

  • Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
    • Handle: RePEc:eee:eneeco:v:66:y:2017:i:c:p:559-570
    DOI: 10.1016/j.eneco.2016.11.026
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    More about this item

    Keywords

    Coal; Commodities; Financial market integration; Gas; International asset pricing; Oil; Systematic risk; Market risk;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F2 - International Economics - - International Factor Movements and International Business
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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