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

被引：49
作者：
Kumar, Satish [1 ]
Pradhan, Ashis Kumar [2 ]
Tiwari, Aviral Kumar [2 ,3 ]
Kang, Sang Hoon [4 ,5 ]
机构：
[1] Indian Inst Management Amritsar, Amritsar, Punjab, India
[2] Rajagiri Business Sch, Rajagiri Valley Campus, Kochi, Kerala, India
[3] Montpellier Business Sch, Montpellier, France
[4] Pusan Natl Univ, Dept Business Adm, Busandaehak Ro 63beong Gil 2, Busan 609735, South Korea
[5] Univ South Australia, Sch Commerce, Adelaide, SA, Australia
来源：
RESOURCES POLICY | 2019年 / 62卷
基金：
新加坡国家研究基金会;
关键词：
Indian energy futures; Optimal portfolio weight; Time-varying hedge ratio; VARMA-DCC-GARCH; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; TIME-SERIES; CRUDE-OIL; ASYMPTOTIC THEORY; WAVELET ANALYSIS; EXCHANGE-RATE; CANADIAN OIL; UNIT-ROOT; MARKETS; SHOCKS;
D O I：
10.1016/j.resourpol.2019.04.004
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
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.
引用
收藏
页码：282 / 291
页数：10
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