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Correlations and volatility spillovers between oil, natural gas, and stock prices in India

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  • Kumar, Satish
  • Pradhan, Ashis Kumar
  • Tiwari, Aviral Kumar
  • Kang, Sang Hoon

Abstract

This study investigates the extent of time-varying volatility and correlations between crude oil, natural gas, and stock prices in India using various multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models with and without asymmetry. Our empirical results reveal that there is no long-run cointegration between crude oil, natural gas, and stock prices in India. We find that the VARMA-DCC-GARCH model is more efficient compared to the CCC model with asymmetry in estimating time-varying correlations. We also analyze optimal portfolio weights and hedging ratios through pair trading between stocks and energy commodity futures. Our results have several implications for portfolio investors dealing with the Indian stock market and energy commodity futures for forecasting potential market risk exposure and determining the existence of portfolio diversification benefits.

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  • Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
    • Handle: RePEc:eee:jrpoli:v:62:y:2019:i:c:p:282-291
    DOI: 10.1016/j.resourpol.2019.04.004
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    Keywords

    Indian energy futures; Optimal portfolio weight; Time-varying hedge ratio; VARMA-DCC-GARCH;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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