EconPapers    
Economics at your fingertips  
 

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

Mohammad Z Hasan
Additional contact information
Mohammad Z Hasan: School of Business, University of Notre Dame Australia, Sydney Campus, Australia

Asian Economic and Financial Review, 2017, vol. 7, issue 4, 393-412

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.

Keywords: Energy price; Stock market; Oil; Volatility transmission; Conditional variance; MGARCH. (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.aessweb.com/download.php?id=3666 (application/pdf)
http://www.aessweb.com/journals/5002/April2017 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:2017:p:393-412

Access Statistics for this article

Asian Economic and Financial Review is currently edited by Dr. Qazi Muhammad Adnan Hye

More articles in Asian Economic and Financial Review from Asian Economic and Social Society Sadeeq Block, Near Fawara Chowk, Abbasia Town, Rahim Yar Khan - 64200, Punjab, Pakistan.
Bibliographic data for series maintained by Chan Hoi Yan ().

 
Page updated 2019-05-02
Handle: RePEc:asi:aeafrj:2017:p:393-412