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Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis

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成果类型:
期刊论文
作者:
Lin Ling;Zhou Zhongbao;Liu Qing;Jiang Yong
通讯作者:
Zhou, Z.
作者机构:
[Lin Ling] Hunan Agr Univ, Sch Econ, Changsha 410128, Hunan, Peoples R China.
[Liu Qing; Zhou Zhongbao; Jiang Yong] Hunan Univ, Sch Business Adm, Changsha 410082, Hunan, Peoples R China.
通讯机构:
School of Business Administration, Hunan University, Changsha, China
语种:
英文
关键词:
Risk transmission;Hedging strategy;Regime switching;Long memory and asymmetry GARCH;Natural gas market;Chinese and America stock markets
期刊:
Finance Research Letters
ISSN:
1544-6123
年:
2019
卷:
29
页码:
245-254
基金类别:
National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71771082, 71371067, 71431008, 71801091]; Hunan Provincial Natural Science Foundation of ChinaNatural Science Foundation of Hunan Province [2017JJ1012]
机构署名:
本校为第一机构
院系归属:
经济学院
摘要:
This paper investigates the risk transmission and hedging strategies between natural gas market and stock markets. We propose a multivariate GARCH framework which combines regime switching with multivariate long memory and asymmetry GARCH. Results show that there exists granger causality from natural gas market to the Chinese stock markets in crisis regime. Dynamic correlations between these markets are vulnerable to extreme weather, government policies and financial crisis. When looking at the optimal design of a natural gas-stock portfolio, we find that investors in stock markets should have more stocks than natural gas asset in order to reduce their portfolio risk.

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