کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063658 1476698 2017 43 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Can stock market investors hedge energy risk? Evidence from Asia
ترجمه فارسی عنوان
آیا سرمایه گذاران بازار سهام می توانند خطر انرژی را از بین ببرند؟ شواهد از آسیا
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
​The relationship between energy and stock prices is investigated in the context of Asia, including China and Japan. Oil, gas and coal prices are considered both individually and as an energy portfolio. Consistent with evidence from international markets, during the post Global Financial Crisis (GFC) period, Asian stock markets moved in tandem with oil prices. However, using asset pricing and portfolio theory, we identify a time-varying integration between individual stock markets and the energy portfolio, which in turn may limit the benefit of risk reduction through diversification. This relation can also be used to hedge the common factor arising from energy risk. Doing so provides benefits to investors in the form of positive time-varying risk adjusted returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 66, August 2017, Pages 559-570
نویسندگان
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