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Volatility spillovers and hedging: Evidence from Asian oil-importing countries

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  • Sarwar, Suleman
  • Khalfaoui, Rabeh
  • Waheed, Rida
  • Dastgerdi, Hamidreza Ghorbani

Abstract

In this study the volatility spillover between stock market returns (Shanghai stock exchange, Nikkei stock exchange and Bombay stock exchange) and crude oil returns in the top three Asian oil-importing countries are investigated. BEKK-GARCH, DCC-GARCH, cDCC-GARCH and GO-GARCH estimation techniques are applied using daily data from 1st January 2000 to December 27th, 2016. Further, these estimation results are used to analyze the optimal portfolio weights and hedge ratios for oil-stock portfolios. The findings reveal that shocks dependence and conditional volatility in its own market have more important role than volatility spillover. Also, the bidirectional spillover is confirmed between Nikkei stock return and oil returns. The unidirectional spillover from Indian stock returns to oil returns. There is, however, no evidence of volatility spillover in case of China. According to optimal portfolio weights and hedge ratios, the oil assets are useful instrument to minimize the portfolio risk in studied markets. The investors, however, should choose more stocks than oil assets to form an optimal portfolio. We also notice that the cDCC-GARCH model is better for risk minimization.

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  • Sarwar, Suleman & Khalfaoui, Rabeh & Waheed, Rida & Dastgerdi, Hamidreza Ghorbani, 2019. "Volatility spillovers and hedging: Evidence from Asian oil-importing countries," Resources Policy, Elsevier, vol. 61(C), pages 479-488.
    • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:479-488
    DOI: 10.1016/j.resourpol.2018.04.010
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    More about this item

    Keywords

    Stock market returns; Oil prices; Volatility spillover; Portfolio; Hedge ratio;
    All these keywords.

    JEL classification:

    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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