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  • 标题:Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks
  • 本地全文:下载
  • 作者:Nizar Harrathi ; Ahmed Almohaimeed
  • 期刊名称:African Journal of Business Management
  • 印刷版ISSN:1993-8233
  • 出版年度:2015
  • 卷号:9
  • 期号:5
  • 页码:233-242
  • DOI:10.5897/AJBM2013.7226
  • 语种:English
  • 出版社:Academic Journals
  • 摘要:This paper empirically investigates the interdependence between GCC stock market and oil price by considering structural breaks in conditional volatility. The univariate and multivariate GARCH models are extended by including structural breaks which are determined endogenously by using ICSS algorithm proposed by Inclan and Tiao. Empirical results indicate that the inclusion of structural breaks in the model substantially reduces the volatility persistence and the estimated half-life of shocks. Hence, the conditional volatility of oil price and stock market are more affected by their own shocks and volatility when structural breaks are neglected. Likewise, our results are conclusive on conditional dependency between GCC stock market and oil price revealing that the volatility shifts reduce the shocks and volatility spillover effects. For the portfolio management, the empirical results show evidence of sensitivity of the optimal weight and hedge ratios to structural breaks in conditional volatility.
  • 关键词:GCC stock market; oil price; dependency; multivariate GARCH; structural breaks; ICSS algorithm; portfolio implications
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