The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management
Access Status
Open access
Authors
Wen, Xiaoqian
Date
2015Supervisor
Dr Xiumei Guo
Prof. Dora Marinova
Type
Thesis
Award
PhD
Metadata
Show full item recordSchool
Curtin University Sustainability Policy Institute
Collection
Abstract
The asymmetric BEKK (Baba, Engle, Kraft and Kroner) econometric model and copulas are used to measure the linkage between the world oil price and Chinese energy stock price and discuss implications for risk management and energy policy. Asymmetric return and volatility spillovers are found between markets with new energy companies being more vulnerable than fossil fuel companies to the extreme changes in the world oil price. An optimally-weighted portfolio is the best risk management strategy.
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