Oil price risk exposure of BRIC stock markets and hedging effectiveness

We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not fully characterize the extreme dependence between oil...

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Vydáno v:	Annals of operations research Ročník 313; číslo 1; s. 145 - 170
Hlavní autoři:	Shahzad, Syed Jawad Hussain, Bouri, Elie, Rehman, Mobeen Ur, Naeem, Muhammad Abubakr, Saeed, Tareq
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.06.2022 Springer Springer Nature B.V
Témata:	Analysis Business and Management Combinatorics Crude oil Crude oil prices Diversification Emerging markets Equity Exports Hedging Hedging (Finance) Influence Institutional investments Methods Operations research Operations Research/Decision Theory Original Research Petroleum Portfolio management Prices and rates Risk (Economics) Risk exposure Securities markets Stock exchanges Stock markets Theory of Computation Brazil China India Russia Q43 Crude oil BRIC G11 Hedging Diversification Time-varying optimal copula Q41
ISSN:	0254-5330, 1572-9338
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Abstract	We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not fully characterize the extreme dependence between oil and BRIC stock markets. The identified combinations of asymmetric and extreme positive lower tail dependence justify the application of the TVOC. Interestingly, the positive lower tail dependence between oil and stock markets and risk spillover from oil is higher for Brazil and Russia (oil exporters) than India and China (oil importers). Finally, we assess the effectiveness of hedging and measure the conditional diversification benefits of investing in oil for BRIC stock indices. Notably, the Chinese and Indian equity markets offer higher conditional diversification benefits when combined with oil in an equally weighted portfolio.
AbstractList	We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not fully characterize the extreme dependence between oil and BRIC stock markets. The identified combinations of asymmetric and extreme positive lower tail dependence justify the application of the TVOC. Interestingly, the positive lower tail dependence between oil and stock markets and risk spillover from oil is higher for Brazil and Russia (oil exporters) than India and China (oil importers). Finally, we assess the effectiveness of hedging and measure the conditional diversification benefits of investing in oil for BRIC stock indices. Notably, the Chinese and Indian equity markets offer higher conditional diversification benefits when combined with oil in an equally weighted portfolio.
Audience	Academic
Author	Shahzad, Syed Jawad Hussain Rehman, Mobeen Ur Bouri, Elie Saeed, Tareq Naeem, Muhammad Abubakr
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SubjectTerms	Analysis Business and Management Combinatorics Crude oil Crude oil prices Diversification Emerging markets Equity Exports Hedging Hedging (Finance) Influence Institutional investments Methods Operations research Operations Research/Decision Theory Original Research Petroleum Portfolio management Prices and rates Risk (Economics) Risk exposure Securities markets Stock exchanges Stock markets Theory of Computation
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Title	Oil price risk exposure of BRIC stock markets and hedging effectiveness
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