Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis
Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis
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DOI：
10.1016/j.intfin.2017.02.001
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发表时间：
2017-05-01
影响因子：
4
通讯作者：
Hamori, Shigeyuki
中科院分区：
文献类型：
--
作者：
Cai, Xiao Jing;Tian, Shuairu;Hamori, Shigeyuki
本文考察了1992 - 2015年石油与东亚股票收益之间的相互依存关系和因果关系，并利用小波相干分析为投资组合多元化收益提供了一个新的视角。我们发现油价与东亚股市的走势是同步的，长期来看，油价导致股票收益。我们提供的证据表明，石油可以在短期内降低风险，并且石油股票投资组合的风险降低程度在长期内降低。本研究提供的资讯，可指导投资者在投资石油及东亚股市时，如何分散投资。(C) 2017 Elsevier B.V.版权所有
This paper examines the interdependence and causality relationship between oil and East Asian stock returns from 1992 to 2015 and provides a fresh perspective on portfolio diversification benefits using wavelet coherence analysis. We find that oil prices and the East Asian stock market move in phase, and oil prices lead to stock returns in the long run. We provide evidence that oil can reduce the risk in the short run, and the degree of risk reduction of oil-stock portfolios decreases over the long term. This study provides information that can guide investors in diversification efforts while investing in oil and East Asian stock markets. (C) 2017 Elsevier B.V. All rights reserved.