Return and Volatility Transmission Between Oil Prices and Emerging Asian Markets

• Published in: Seoul Journal of Business Vol. 19; no. 2; pp. 74 - 93
• Main Authors: 강상훈, 윤성민
• Format: Journal Article
• Language: English
• Published: 경영연구소 01.12.2013
• Subjects: 경영학
• ISSN: 1226-9816
• DOI: 10.35152/snusjb.2013.19.2.003

We investigated return and volatility transmission between oil futures prices and ten Asian emerging indices using a VAR-bivariate GARCH model. We also analyzed the optimal weights and hedge ratios for optimizing portfolios to minimize the exposure to risk associated with oil futures price changes. We found no significant influence of oil futures price returns on Asian stock returns. However, strong volatility spillover was observed from oil futures price shocks and volatility to counterpart volatilities. In addition,optimal weights and hedge ratios suggested that incorporating the oil asset in a well-diversified portfolio effectively hedged the risks associated with oil price volatility. KCI Citation Count: 1