Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management
Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management
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DOI：
10.3390/en13020294
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发表时间：
2020-01-01
期刊：
影响因子：
3.2
通讯作者：
Tian, Shuairu
中科院分区：
文献类型：
--
作者：
Cai, Xiaojing;Hamori, Shigeyuki;Tian, Shuairu
本文利用小波变换和Copulas方法研究了原油和东亚股市在多个频率下的动态相关性结构。我们还通过计算和比较风险和尾部风险对冲绩效，研究了石油股票投资组合的风险管理含义和分散收益。我们的结果提供了原油和东亚股市之间不同频率的时变相关性和非对称尾部相关性的有力证据。它们的依赖程度和波动性随着时间尺度的增加而增加。此外，我们发现时变的套期保值收益在投资范围内是不同的，并且在长期内会减少。我们的结果表明，原油可以被用作对冲东亚股市的避风港，特别是在中短期内。
This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.