Risk and Return Transmissions From Crude Oil to Latin American Stock Markets During the Crisis: Portfolio Implications

Autor: Imran Yousaf, Shoaib Ali, Muhammad Naveed, Ifraz Adeel
Jazyk: angličtina
Rok vydání: 2021
Předmět:
Zdroj: SAGE Open, Vol 11 (2021)
Druh dokumentu: article
ISSN: 2158-2440
21582440
DOI: 10.1177/21582440211013800
Popis: Using the DCC-GARCH model, this study examines the return and volatility spillovers between crude oil and emerging Latin American stock markets during the entire studying period and two subsamples, including the global financial crisis and the Chinese Stock market crash. The findings reveal a positive causal effect from Brazil and Mexico’s stock price changes to the oil market during the global financial crisis. During the Chinese stock market crash, the return spillover is unidirectional from the oil to Brazil and Mexico equity markets. The findings show no significant volatility transmission between oil and Latin American stock markets during the global financial crisis. Contrarily, we observe bidirectional volatility transmission between the oil and Brazilian stock markets during the Chinese stock market crash. Finally, we calculate the optimal weights and hedge ratios for the oil and stock portfolios. In comparison to the global financial crisis, the results suggest that lesser oil assets are required to minimize portfolio risk in the Chinese stock market crash. These results offer valuable insights for portfolio diversification, asset pricing, and risk management.
Databáze: Directory of Open Access Journals
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