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Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies' stock returns

机译：世界油价的波动性溢出影响对亚洲主要能源出口和进口经济体的股票收益率的影响

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Today Asia accounts for about 40% of the world oil trade and most of the trade is transpired within the region. This study presents an investigation of the volatility spillovers among leading Asian oil exporting countries and oil importing countries' stock exchanges and crude oil returns. The model selection from multivariant GARCH models include BEKK-GARCH, DCC-GARCH, ABEKK-GARCH and ADCC-GARCH estimation techniques which are applied using daily data from 1st September 2009 to August 31st, 2018 for the three oil exporting countries (Saudi Arabia, United Arab Emirates, Iraq) and four oil importing countries (China, japan, India, South Korea) stock exchanges with spot crude oil. Further, these estimation results are used to analyze the optimal portfolio weights for oil-stock portfolios. The bidirectional spillover is accepted for the correlation of two oil exporting countries (Saudi Arabia, Iraq) and South Korean stock return with oil returns. the Overall the results of all the oil exporting and oil importing countries show a different level of significant correlation with oil but the influence of oil shock are more pronounced on oil exporting countries. We also present a graphical picture of the stock correlation with oil by employing DCC-GARCH model that shows great shock and volatility correlation in the period of the oil crisis of 2014-2016. According to optimal portfolio weights and hedge ratios, the oil assets are a useful instrument to minimize the portfolio risk in studied markets. The investors, however, should choose more stocks than oil assets to form an optimal portfolio in case of oil importing countries and equal ratio for the oil exporting countries. (C) 2019 Elsevier Ltd. All rights reserved.
机译：今天，亚洲约占世界石油贸易的40％，大部分贸易在该区域内发生。这项研究对亚洲主要石油输出国与石油进口国的证券交易所和原油收益之间的波动性溢出进行了调查。从多变量GARCH模型中选择的模型包括BEKK-GARCH，DCC-GARCH，ABEKK-GARCH和ADCC-GARCH估算技术，这些技术使用三个石油出口国（沙特阿拉伯，阿拉伯联合酋长国，伊拉克）和四个石油进口国（中国，日本，印度，韩国）与现货原油进行证券交易所。此外，这些估计结果用于分析石油库存投资组合的最佳投资组合权重。对于两个石油出口国（沙特阿拉伯，伊拉克）和韩国库存收益与石油收益的相关性，可以接受双向溢出。总体而言，所有石油出口国和石油进口国的结果与石油的显着相关程度不同，但石油冲击对石油出口国的影响更为明显。我们还通过使用DCC-GARCH模型提供了与石油库存相关性的图形图片，该模型显示了2014-2016年石油危机时期的巨大震荡和波动性相关性。根据最佳投资组合权重和对冲比率，石油资产是一种在研究市场上最大程度地降低投资组合风险的有用工具。但是，在石油进口国和石油出口国比例相等的情况下，投资者应选择比石油资产更多的股票以形成最佳投资组合。 （C）2019 Elsevier Ltd.保留所有权利。

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