Oil price and automobile stock return co-movement: A wavelet coherence analysis
Oil price and automobile stock return co-movement: A wavelet coherence analysis
复制标题
DOI：
10.1016/j.econmod.2018.07.028
复制
发表时间：
2019-01-01
影响因子：
4.7
通讯作者：
Mitra, Subrata K.
中科院分区：
文献类型：
--
作者：
Pal, Debdatta;Mitra, Subrata K.
本文在联合时频域上探讨了石油价格与汽车类股票收益率之间可能存在的协动关系。本分析使用1996年8月1日至2017年6月20日的每日价格序列。研究结果表明，2000年11月、2002年12月和2006年3月、2009年12月，油价与汽车股收益率之间存在较强的协动关系。这种联动性在长期内更为明显，股票收益率对需求冲击引起的油价上涨较为敏感。这违背了传统的观点，即原油总是反周期的汽车股。对于投资者来说，这削弱了将石油资产纳入汽车股投资组合的可能收益，因为原油在危机期间无法为看跌的汽车股市场提供缓冲。
This paper explores possible co-movement between oil price and automobile stock return in a joint time-frequency domain. Daily price series from August 01, 1996 to June 20, 2017 is used in this analysis. The results indicate that the co-movement between oil price and automobile stock return is strong during November, 2000 December, 2002 and March, 2006 December, 2009. The co-movement is found to be more pronounced in the long-term and stock return is sensitive to the higher oil price emanating from the demand shock. This contravenes the conventional wisdom that crude oil is always counter-cyclical to the automobile stocks. For investor, this weakens the probable gain from including oil asset in a portfolio of automobile stocks as crude oil does not offer cushion against bearish automobile stock markets during the crisis period.