Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector

Detalhes bibliográficos
Autor(a) principal: Moraes, Alexandra Kelly de
Data de Publicação: 2023
Outros Autores: Ceretta, Paulo Sergio
Tipo de documento: Artigo
Idioma: por
Título da fonte: Estudos Econômicos (São Paulo)
Texto Completo: https://www.revistas.usp.br/ee/article/view/195718
Resumo: In this article we use the approaches of the Dynamic Conditional Correlation – standard DCC of Engle (2002), the approach of the Spillover Index of volatility of Diebold and Yilmaz (2009, 2012, 2014, 2015) and the identical hedge of Maghyereh et al. (2017), to study the shock transmission mechanism, volatility contagion and portfolio diversification in the oil sector of the volatility between changes in oil prices and changes in stock prices of companies in the oil sector in a period that encompasses the covid-19 pandemic. The research results suggested that changes in oil prices for the WTI and oil companies showed a significant volatility, with unprecedented peaks in the period of the covid-19 pandemic. In addition, the results signaled that volatility transmissions in the oil sector did not vary over time, that is, they are similar since the financial crisis of 2007/2009. Finally, the effectiveness of the hedge ratio in portfolio diversification between WTI oil and oil companies is discussed.
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spelling Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sectorCorrelação conditional dinâmica, spillover de volatilidade e hedge para os preços do petróleo futuro e das ações das principais empresas do setor petrolíferoCorrelação Condicional Dinâmica–DCCSpillover de volatilidadeHedgePetróleoDynamic Conditional Correlation–DCCVolatility SpilloverHedgeOilIn this article we use the approaches of the Dynamic Conditional Correlation – standard DCC of Engle (2002), the approach of the Spillover Index of volatility of Diebold and Yilmaz (2009, 2012, 2014, 2015) and the identical hedge of Maghyereh et al. (2017), to study the shock transmission mechanism, volatility contagion and portfolio diversification in the oil sector of the volatility between changes in oil prices and changes in stock prices of companies in the oil sector in a period that encompasses the covid-19 pandemic. The research results suggested that changes in oil prices for the WTI and oil companies showed a significant volatility, with unprecedented peaks in the period of the covid-19 pandemic. In addition, the results signaled that volatility transmissions in the oil sector did not vary over time, that is, they are similar since the financial crisis of 2007/2009. Finally, the effectiveness of the hedge ratio in portfolio diversification between WTI oil and oil companies is discussed.Neste artigo utilizou as abordagens da Correlação Condicional Dinâmica — DCC proposto por Engle (2002), a abordagem do Índice de Spillover de volatilidade abordado por Diebold e Yilmaz (2009, 2012, 2014, 2015) e o Hedge abordado por Maghyereh et al. (2017), para estudar o mecanismo de transmissão de choque, o contágio de volatilidade e a diversificação de carteira no setor petrolífero da volatilidade entre as variações de preços do petróleo e as variações dos preços das ações de empresas do setor petrolífero em um período que engloba a pandemia da covid-19. Os resultados da pesquisa sugeriram que as variações dos preços do petróleo da WTI e as empresas petrolíferas, apresentaram volatilidade expressiva, com picos sem precedentes no período da pandemia da covid-19. Além disso, os resultados sinalizaram que as transmissões de volatilidade no setor petrolífero não variam ao longo do tempo, ou seja, são semelhantes desde da crise financeira de 2007/2009. Por fim, discutiu-se a eficácia da razão ótima do hedge na diversificação de carteira entre o petróleo do WTI e empresas petrolíferas.Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2023-06-28info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdftext/xmlhttps://www.revistas.usp.br/ee/article/view/19571810.1590/1980-53575325ampcEstudos Econômicos (São Paulo); v. 53 n. 2 (2023); 375-4091980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ee/article/view/195718/195972https://www.revistas.usp.br/ee/article/view/195718/196998Copyright (c) 2023 Alexandra Kelly de Moraes, Paulo Sergio Cerettahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessMoraes, Alexandra Kelly deCeretta, Paulo Sergio 2023-09-14T19:23:16Zoai:revistas.usp.br:article/195718Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2023-09-14T19:23:16Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
Correlação conditional dinâmica, spillover de volatilidade e hedge para os preços do petróleo futuro e das ações das principais empresas do setor petrolífero
title Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
spellingShingle Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
Moraes, Alexandra Kelly de
Correlação Condicional Dinâmica–DCC
Spillover de volatilidade
Hedge
Petróleo
Dynamic Conditional Correlation–DCC
Volatility Spillover
Hedge
Oil
title_short Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
title_full Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
title_fullStr Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
title_full_unstemmed Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
title_sort Dynamic conditional correlation, volatility spillover and Hedge for future oil prices and shares of major companies in the oil sector
author Moraes, Alexandra Kelly de
author_facet Moraes, Alexandra Kelly de
Ceretta, Paulo Sergio
author_role author
author2 Ceretta, Paulo Sergio
author2_role author
dc.contributor.author.fl_str_mv Moraes, Alexandra Kelly de
Ceretta, Paulo Sergio
dc.subject.por.fl_str_mv Correlação Condicional Dinâmica–DCC
Spillover de volatilidade
Hedge
Petróleo
Dynamic Conditional Correlation–DCC
Volatility Spillover
Hedge
Oil
topic Correlação Condicional Dinâmica–DCC
Spillover de volatilidade
Hedge
Petróleo
Dynamic Conditional Correlation–DCC
Volatility Spillover
Hedge
Oil
description In this article we use the approaches of the Dynamic Conditional Correlation – standard DCC of Engle (2002), the approach of the Spillover Index of volatility of Diebold and Yilmaz (2009, 2012, 2014, 2015) and the identical hedge of Maghyereh et al. (2017), to study the shock transmission mechanism, volatility contagion and portfolio diversification in the oil sector of the volatility between changes in oil prices and changes in stock prices of companies in the oil sector in a period that encompasses the covid-19 pandemic. The research results suggested that changes in oil prices for the WTI and oil companies showed a significant volatility, with unprecedented peaks in the period of the covid-19 pandemic. In addition, the results signaled that volatility transmissions in the oil sector did not vary over time, that is, they are similar since the financial crisis of 2007/2009. Finally, the effectiveness of the hedge ratio in portfolio diversification between WTI oil and oil companies is discussed.
publishDate 2023
dc.date.none.fl_str_mv 2023-06-28
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ee/article/view/195718
10.1590/1980-53575325ampc
url https://www.revistas.usp.br/ee/article/view/195718
identifier_str_mv 10.1590/1980-53575325ampc
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ee/article/view/195718/195972
https://www.revistas.usp.br/ee/article/view/195718/196998
dc.rights.driver.fl_str_mv Copyright (c) 2023 Alexandra Kelly de Moraes, Paulo Sergio Ceretta
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2023 Alexandra Kelly de Moraes, Paulo Sergio Ceretta
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
text/xml
dc.publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária
publisher.none.fl_str_mv Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária
dc.source.none.fl_str_mv Estudos Econômicos (São Paulo); v. 53 n. 2 (2023); 375-409
1980-5357
0101-4161
reponame:Estudos Econômicos (São Paulo)
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Estudos Econômicos (São Paulo)
collection Estudos Econômicos (São Paulo)
repository.name.fl_str_mv Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)
repository.mail.fl_str_mv estudoseconomicos@usp.br||aldrighi@usp.br
_version_ 1800237505246658560

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