2018 Fiscal Year Final Research Report
Multi-horizon dependence between oil, gold and East Asian stock markets and implications in risk management
| Project/Area Number |
18H05682
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Review Section |
0107:Economics, business administration, and related fields
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| Research Institution | Kobe University |
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Principal Investigator |
Cai Xiaojing 神戸大学, 経済学研究科, 経済学研究科研究員 (90822908)
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| Research Collaborator |
Yang Lu
Hamori Shigeyuki
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| Project Period (FY) |
2018-08-24 – 2019-03-31
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| Keywords | スケール別依存関係 / コピュラモデル / 東アジア株式市場 / 石油価格 / 金価格 |
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| Outline of Final Research Achievements |
This paper investigates the time-varying dependence and tail dependence between stock and the prices of oil and gold across different time scales with East Asian stock markets. We also assess the risk and downside risk hedging benefits of oil and gold to East Asian stock markets.
Our results provide strong evidence of time-varying dependence and tail dependence between oil (gold) and stock markets at different time scales.Specifically, the oil (gold)-stock dependence and tail dependence increase as the time-scale increases.
Based on the analysis of the risk reduction of Portfolio Variance and Expected Shortfall, we investigate the risk and tail risk hedging performance of oil and gold to stock portfolios. We find strong evidence that the hedging effectiveness vary over time and differ in terms of investment horizons. Specifically, all PV and ES risk reduction values are bigger than zero, suggesting that both oil and gold are useful in diversifying the East Asian stock portfolio.
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| Free Research Field |
International Finance
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| Academic Significance and Societal Importance of the Research Achievements |
石油と金は、世界中最も重要な戦略的資源であるため、その価格の変動は世界経済の発展に影響が大きい。特にここ数年、商品市場の金融化とともに、石油と金は金融資産として活用されている。Geman (2005) は、採掘自然環境や産油国と産金国の政治安定などの条件に支配されるため、株式のような従来の資産の価格の決定要因と異なることにより、石油と金は株式市場のリスクヘッジに役立つことを議論した。リスク管理の分野では、様々な資産の価格あるいは収益率間の相互依存性が非常に重要な課題である。株式市場と石油・金の価格の依存関係を分析することは、ポートフォリオの最適化やリスク管理においても極めて重要なことである。
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