کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7397404 | 1481242 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Addressing COP21 using a stock and oil market integration index
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
مهندسی انرژی و فناوری های برق
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چکیده انگلیسی
COP21 implementation should lead to a decline in the future demand for fossil fuels. One key implication for investors is how to manage this risk. We construct a monthly stock and oil market integration index and demonstrate that oil investors can offset adverse oil price risk by holding diversified global stock portfolios. The portfolios are formed from eight different combinations of developed and emerging stock markets. We show that measuring the degree of stock-oil market integration is critical to managing the time-varying degrees of integration. Under normal market conditions markets are segmented and this yields the opportunity for oil investors to diversify energy price risk through the purchase of stocks. The optimal oil-stock diversified portfolio provides risk-adjusted positive benefits to investors, with portfolio weights changing over time as COP21 implementation proceeds.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Policy - Volume 116, May 2018, Pages 127-136
Journal: Energy Policy - Volume 116, May 2018, Pages 127-136
نویسندگان
Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi, Niklas F. Wagner,