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Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return

Author

Listed:
  • Chia-Lin Chang

    (Department of Applied Economics, National Chung Hsing University)

  • Michael McAleer

    (Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo)

  • Roengchai Tansuchat

    (Faculty of Economics, Maejo University and Faculty of Economics, Chiang Mai University)

Abstract

The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of McAleer et al. (2008). The paper investigates WTI crude oil futures returns and the stock returns of ten oil companies, which comprise the "supermajor" group of oil companies, namely Exxon Mobil (XOM), Royal Dutch Shell (RDS), Chevron Corporation (CVX), ConocoPhillips (COP), BP (BP) and Total S.A. (TOT), and four other large oil and gas companies, namely Petrobras (PBRA), Lukoil (LKOH), Surgutneftegas (SNGS), and Eni S.p.A. (ENI). Estimates of the conditional correlations between the WTI crude oil futures returns and oil company stock returns are found to be quite low using the CCC model, while the VARMA-GARCH and VARMA-AGARCH models suggest no significant volatility spillover effects in any pairs of returns. The paper also presents evidence of the asymmetric effects of negative and positive shocks of equal magnitude on the conditional variances in all pairs of returns.

Suggested Citation

  • Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo.
  • Handle: RePEc:tky:fseres:2009cf639
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    References listed on IDEAS

    as
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    Cited by:

    1. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
    2. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013. "Conditional correlations and volatility spillovers between crude oil and stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
    3. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
    4. repec:wsi:afexxx:v:12:y:2017:i:02:n:s2010495217500075 is not listed on IDEAS
    5. repec:eee:ecmode:v:70:y:2018:i:c:p:543-560 is not listed on IDEAS
    6. Šoba, Oldřich & Širůček, Martin & Havíř, Tomáš, 2013. "Závislost cen akcií ropných společností na ceně ropy
      [The dependence of oil company's stock price on oil price]
      ," MPRA Paper 62899, University Library of Munich, Germany, revised 2013.
    7. repec:eco:journ2:2017-04-27 is not listed on IDEAS

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