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
相关论文
共 81 条
[21]   Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries [J].
Chkili, Walid .
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 38 :22-34
[22]   Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment [J].
Choi, Kyongwook ;
Hammoudeh, Shawkat .
ENERGY POLICY, 2010, 38 (08) :4388-4399
[23]   Oil price dynamics and speculation A multivariate financial approach [J].
Cifarelli, Giulio ;
Paladino, Giovanna .
ENERGY ECONOMICS, 2010, 32 (02) :363-372
[24]   Relationships between oil price shocks and stock market: An empirical analysis from China [J].
Cong, Rong-Gang ;
Wei, Yi-Ming ;
Jiao, Jian-Lin ;
Fan, Ying .
ENERGY POLICY, 2008, 36 (09) :3544-3553
[25]   DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].
DICKEY, DA ;
FULLER, WA .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431
[26]   Evidence on the nature and extent of the relationship between oil prices and equity values in the UK [J].
El-Sharif, I ;
Brown, D ;
Burton, B ;
Nixon, B ;
Russell, A .
ENERGY ECONOMICS, 2005, 27 (06) :819-830
[27]   Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models [J].
Engle, R .
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (03) :339-350
[28]   AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION [J].
ENGLE, RF .
ECONOMETRICA, 1982, 50 (04) :987-1007
[29]   COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].
ENGLE, RF ;
GRANGER, CWJ .
ECONOMETRICA, 1987, 55 (02) :251-276
[30]   Volatility transmission in the oil and natural gas markets [J].
Ewing, BT ;
Malik, F ;
Ozfidan, O .
ENERGY ECONOMICS, 2002, 24 (06) :525-538
123456789