TRANSMISSION OF INTERNATIONAL ENERGY PRICE SHOCKS TO AUSTRALIAN STOCK MARKET AND ITS IMPLICATIONS FOR PORTFOLIO FORMATION
Journal Title: Asian Economic and Financial Review - Year 2017, Vol 7, Issue 4
Abstract
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.
Authors and Affiliations
Mohammad Z Hasan| School of Business, University of Notre Dame Australia, Sydney Campus, Australia
Keywords
Related Articles
- EP ID EP2349
- DOI -
- Views 515
- Downloads 39
THE DETERMINANTS OF MARKET EMPLOYMENT CAPACITY OF ENTERPRISES IN JIGAWA STATE OF NIGERIA
This paper examines the determinants of market employment capacity of enterprises in Jigawa state, we used primary data collected from 300 entrepreneurs drawn base on purposive and random sampling techniques from three m...
ON THE DETERMINANTS OF DERIVATIVE HEDGING BY INSURANCE COMPANIES: EVIDENCE FROM TAIWAN
There has been considerable growth in the derivatives holdings of Taiwanese insurance companies in recent years and this study examines the determinants of derivative use for both life and non-life companies. The determi...
SEASONAL ARIMA MODELLING OF NIGERIAN MONTHLY CRUDE OIL PRICES
The time plot of the series NCOP reveals a peak in 2008 and a depression in early 2009. The overall trend is horizontal and no seasonality is obvious. Twelve-month differencing yields SDNCOP exhibiting still a peak in 20...
QUANTO INTEREST-RATE EXCHANGE OPTIONS IN A CROSS-CURRENCY LIBOR MARKET MODEL
The purpose of this paper is to price quanto interest-rate exchange options (QIREOs) based on a practical and easy-to-use interest-rate model. According to the payoff structure of QIREOs, the cross-currency LIBOR market...
EVA VERSUS OTHER PERFORMANCE MEASURES
Create value not only intended to satisfy shareholders. This is also the way to ensure the ability of the company to ensure its sustainability and finance its growth. The company will not attract new capital if it destro...