 Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implicationsDebasish Maitra, Mobeen Ur Rehman, Saumya Ranjan Dash and Sang Hoon Kang Energy Economics, 2021, vol. 102, issue C Abstract: This paper investigates the direction and extent of volatility connectedness between fluctuating oil prices and the stock returns of international transportation or logistics companies. The dynamic equicorrelation, and the spillover index are employed to identify the correlation and volatility transmission between oil prices and the stock returns of transportation or logistic companies. The total spillover showed a sharp jump during 2008–2009 that overlapped with the global financial crisis, followed by a global economic slowdown and an oil supply glut during 2015–2016. We also consider portfolio diversification strategies by following the tail risk for different periods, as delineated by the global financial crisis. Our findings have implications for investors, fund managers, and policymakers. Keywords: Oil price; Transportation/logistic companies; Volatility; Spillover; Portfolio diversification (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844 DOI: 10.1016/j.eneco.2021.105499 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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