Transmission of International Energy Price Shocks to Australian Stock Market and its Implications for Portfolio Formation

Asian Economic and Financial Review

关键词: Energy price;    Stock market;    Oil;    Volatility transmission;    Conditional variance;    MGARCH.;   

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

This paper studies transmission of international energy price shocks to various sectors in the Australian stock market. We take the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) approach to modeling volatility and gather evidence that energy price shocks transmit to the price indices of various sectors classified by the global industry classification standard (GICS). We observe statistically significant dynamic movement of volatility in price returns of crude oil, coal and natural gas and different GICS sector indices on the Australian Stock Exchange. Finally, using the observed conditional covariance matrix, we compute optimal weights and hedge ratios for portfolios consisting of stocks from energy and other GICS sectors.

【 授权许可】

CC BY