Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses
Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses
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DOI：
10.1016/j.econmod.2018.05.007
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发表时间：
2018-08
影响因子：
4.7
通讯作者：
Chikashi Tsuji
中科院分区：
文献类型：
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作者：
Chikashi Tsuji
本文运用扩展的向量自回归（VAR）动态条件相关（DCC）非对称溢出（AS）多元指数广义自回归条件异方差（MEGestival）模型，研究了石油期货与国际油气行业股票收益之间的收益传递和波动溢出效应。采用全球视角，并使用北美，拉丁美洲，发达欧洲，新兴欧洲，远东和金砖四国的六个国际石油和天然气行业股票指数回报率以及WTI石油期货回报率，我们得到以下结果。首先，我们揭示了从石油期货到发达欧洲，新兴欧洲，远东和金砖四国的石油股票的单向回报传递。其次，我们发现从北美石油股票到石油期货的单向收益传递，以及石油期货和拉丁美洲石油股票之间的双向收益传递。此外，我们揭示了单向非对称波动溢出效应，从所有六个石油股票，石油期货，除了远东，我们观察到主要是双向非对称波动溢出。此外，使用我们的新模型的条件方差和协方差，我们还计算出更精确的时变最优套期保值比率和最优投资组合权重，并澄清在国际市场上，用石油对冲石油股票比反之亦然更便宜。
Applying our newly extended vector autoregressive (VAR) dynamic conditional correlation (DCC) asymmetric spillover (AS) multivariate exponential generalized autoregressive conditional heteroscedasticity (MEGARCH) model with skew-terrors, this paper investigates return transmission and volatility spillovers between oil futures and international oil and gas sector equity returns. Employing a global perspective, and using six international oil and gas sector equity index returns for North America, Latin America, Developed Europe, Emerging Europe, the Far East, and BRIC alongside the WTI oil futures return, we obtain the following findings. First, we reveal unidirectional return transmission from oil futures to oil equities for Developed Europe, Emerging Europe, the Far East, and BRIC. Second, we find unidirectional return transmission from North American oil equities to oil futures, and mostly bidirectional return transmission between oil futures and Latin American oil equities. Moreover, we reveal unidirectional asymmetric volatility spillover effects from all the six oil equities to oil futures except for the Far East, where we observe mostly bidirectional asymmetric volatility spillovers. Furthermore, using the conditional variances and covariances from our new model, we also compute more precise time-varying optimal hedge ratios and optimal portfolio weights, and clarify that in international markets, hedging oil equities with oil is cheaper than vice versa.