School of Finance, Shanxi University of Finance and Economics, No. 696, Wucheng Road, Taiyuan City, 030006, Shanxi Province, China.
Environ Sci Pollut Res Int. 2020 Aug;27(24):30706-30715. doi: 10.1007/s11356-020-09351-6. Epub 2020 May 29.
This study investigates the transmission of volatility between OPEC-oil and sector stock returns in Pakistan. The issue of volatility spillovers across the oil and sector stocks is a crucial part of risk management and portfolio designs, as all firms are not expecting to be equally affected by changes in oil price. Empirically, we estimate a bivariate VAR-GARCH model using daily data sampled from January 1, 2003 to December 29, 2017. We also analyze the optimal weights and hedge ratios for oil-stock portfolio holdings based on our model results. Our findings reveal that negative and significant spillover effects from the oil market to agriculture, energy, and machinery sector stocks are present. However, our findings show that volatility spillover effects are insignificant from stock returns to oil. The findings of the study illustrate that development of stock market will motivate highly polluting firms to invest more in renewable and clean energy, which will help reduce carbon emissions.
本研究考察了 OPEC 石油和巴基斯坦部门股票回报之间波动的传递。石油和股票市场之间的波动溢出问题是风险管理和投资组合设计的重要组成部分，因为并非所有公司都预计会受到油价变化的同等影响。实证方面，我们使用 2003 年 1 月 1 日至 2017 年 12 月 29 日的每日数据估计了一个二元 VAR-GARCH 模型。我们还根据模型结果分析了石油-股票投资组合的最优权重和对冲比率。我们的研究结果表明，石油市场对农业、能源和机械部门股票存在负面且显著的溢出效应。然而，我们发现，从股票回报到石油的波动溢出效应并不显著。研究结果表明，股票市场的发展将激励高污染企业更多地投资于可再生和清洁能源，这将有助于减少碳排放。
