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The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach

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  • Pan, Zhiyuan
  • Wang, Yudong
  • Liu, Li

Abstract

In this paper, we propose an asymmetric dynamic equi-correlation (ADECO) model to investigate the correlations between returns of petroleum futures and stock indices. Our ADECO reveals the in-sample significant asymmetric effect in oil–stock correlations. To evaluate out-of-sample performance, we consider a portfolio with petroleum futures and stocks in which the weights are determined by forecasts of covariance matrix. We find that ADECO provides portfolios with better performances than existing popular DECO, DCC and ADCC models in the minimum-variance framework. Moreover, energy price risk can be better hedged by stocks in oil-exporting countries than stocks in oil-importing countries. Our findings are further demonstrated to be robust to the change of futures maturity.

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  • Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016. "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, vol. 56(C), pages 453-463.
    • Handle: RePEc:eee:eneeco:v:56:y:2016:i:c:p:453-463
    DOI: 10.1016/j.eneco.2016.04.008
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    More about this item

    Keywords

    Asymmetry; Equi-correlation; Petroleum futures; Stock market; Portfolio;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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