The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach

被引:30
作者
Pan, Zhiyuan [1 ,2 ]
Wang, Yudong [3 ]
Liu, Li [4 ]
机构
[1] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Peoples R China
[2] Collaborat Innovat Ctr Financial Secur, Chengdu, Peoples R China
[3] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
[4] Nanjing Audit Univ, Sch Finance, Nanjing, Jiangsu, Peoples R China
基金
美国国家科学基金会;
关键词
Asymmetry; Equi-correlation; Petroleum futures; Stock market; Portfolio; OIL PRICE SHOCKS; VOLATILITY SPILLOVERS; MONETARY-POLICY; MARKET; MACROECONOMY; US; IMPACT; MODEL;
D O I
10.1016/j.eneco.2016.04.008
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this paper, we propose an asymmetric dynamic equi-correlation (ADECO) model to investigate the correlations between returns of petroleum futures and stock indices. Our ADECO reveals the in-sample significant asymmetric effect in oil stock correlations. To evaluate out-of-sample performance, we consider a portfolio with petroleum futures and stocks in which the weights are determined by forecasts of covariance matrix. We find that ADECO provides portfolios with better performances than existing popular DECO, DCC and ADCC models in the minimum-variance framework. Moreover, energy price risk can be better hedged by stocks in oil-exporting countries than stocks in oil-importing countries. Our findings are further demonstrated to be robust to the change of futures maturity. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码:453 / 463
页数:11
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