The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management
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 m...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
Curtin University
2015
|
| Online Access: | http://hdl.handle.net/20.500.11937/1232 |
| _version_ | 1848743609003671552 |
|---|---|
| author | Wen, Xiaoqian |
| author_facet | Wen, Xiaoqian |
| author_sort | Wen, Xiaoqian |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T05:48:17Z |
| format | Thesis |
| id | curtin-20.500.11937-1232 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:48:17Z |
| publishDate | 2015 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-12322017-02-20T06:40:02Z The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management Wen, Xiaoqian 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. 2015 Thesis http://hdl.handle.net/20.500.11937/1232 en Curtin University fulltext |
| spellingShingle | Wen, Xiaoqian The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management |
| title | The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management |
| title_full | The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management |
| title_fullStr | The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management |
| title_full_unstemmed | The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management |
| title_short | The linkage between the world oil price and Chinese energy-related stock price: Implications for risk management |
| title_sort | linkage between the world oil price and chinese energy-related stock price: implications for risk management |
| url | http://hdl.handle.net/20.500.11937/1232 |