Creat membership Creat membership
Sign in

Forgot password?

Confirm
  • Forgot password?
    Sign Up
  • Confirm
    Sign In
Creat membership Creat membership
Sign in

Forgot password?

Confirm
  • Forgot password?
    Sign Up
  • Confirm
    Sign In
Collection
For ¥0.57 per day, unlimited downloads CREATE MEMBERSHIP Download

toTop

If you have any feedback, Please follow the official account to submit feedback.

Turn on your phone and scan

home > search >

Oil volatility, oil and gas firms and portfolio diversification

Author:
Nikolaos Antonakakis  Juncal Cunado  George Filis  David Gabauer  Fernando Perez de Gracia  


Journal:
Energy Economics


Issue Date:
2018


Abstract(summary):

Abstract This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies' stock volatility. However, the spillover is usually unidirectional from oil and gas companies' stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed. Highlights • We examine the volatility correlations and spillover effects between WTI and oil & gas firms. • We employ a firm-level approach which is useful for portfolio investments and risk management. • Correlations are impacted by global economic events, as well as, firm-specific events. • WTI is a net receiver of spillover shocks to oil and gas firms' volatility. • Optimal portfolio weights strategy is more effective than the optimal hedge ratio strategy.


Page:
499-499


VIEW PDF

The preview is over

If you wish to continue, please create your membership or download this.

Create Membership

Similar Literature

Submit Feedback

This function is a member function, members do not limit the number of downloads