Oil price uncertainty and sectoral stock returns in China: A time-varying approach

This article has been made available through the Brunel Open Access Publishing Fund.This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all cases except the Consumer Services, Financials, and Oil and Gas sectors. The latter two sectors are found to exhibit a negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price uncertainty appears to be insignificant during periods with precautionary demand shocks

An empirical examination on the changes of correlations between Chinese listed banks due to a financial crisis-based on a VAR-DCC-GARCH model

在因金融风险传染而造成的相关性变动问题上，目前绝大多数文献的研究对象均只覆盖至不同国家或地区的股票市场以及非银行上市公司，而鲜有涉及到一国国内各银行主体；而在关于银行间风险溢出的相关文献中，学者们则普遍采用分位数回归法计算条件风险价值(CoVaR)而度量银行两两之间的股市风险非线性溢出效应及单个银行的系统性风险贡献度，但却并未关注到因金融风险传染而在均值溢出层面导致的银行间相关性变动及在方差溢出层面导致的银行间动态相关系数的变化。鉴于此，本文将基于我国14家上市银行于2007年9月25日至2015年12月31日间的股价日数据，首次分别从均值溢出层面和方差溢出层面探讨2008年全球金融危机对我国...When it comes to the dynamic change of correlations due to financial risk contagion, the research objects of most existing literatures merely cover stock markets in different countries or regions and non-bank listed companies, while rarely relate to domestic banks in a country. Among literatures which relate to the risk spillover effect between banks, scholars are inclined to use quantile regressi...学位：金融硕士院系专业：王亚南经济研究院_金融硕士学号：2772013115280

What Drives International Equity Correlations? Volatility or Market Direction?

We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that without taking into account the effect of return, there is an (asymmetric) effect of volatility on correlation. The volatility seems to have an impact on correlation especially during downturn periods. However, once we introduce the effect of return, the impact of volatility on correlation disappears. These observations suggest that, the relation between volatility and correlation is an association rather than a causality. The strong increase in the correlation is driven by the past of the return and the market direction rather than the volatility.International equity markets, Asymmetric volatility, Asymmetric correlation, Vector autoregressive (VAR), DCC-GARCH, Generalized impulse response function, Granger causality

Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages

The present paper studies stock-commodity markets linkage using var-garch approach for the period spanning from January 3, 2000 to March 12, 2014. The analysis has been performed through three competing specifications; the var-ccc-garch, the var-bekk-garch, and the var-dcc-garch, ignoring and accounting for structural breaks in volatility to look at the impact of the breaking events on volatility spillovers and its persistence as well as the implications on portfolio management. We found significant interdependency in first and second conditional moments. The structural break dates help forecast current conditional volatility and define its persistence. Their effects have been found slight on optimal weights, miscellaneous on hedge ratios but important on hedging effectiveness. We consider that our findings open up new insights for managerial and governmental policy purposes.  Keywords: volatility spillovers, structural breaks, portfolio designs and hedging JEL Classification: F3, F15, G12, Q43

Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?

This article investigates stock-forex markets interdependence in MENA countries for the period spanning from February 26, 1999 to June 30, 2014. The analysis has been performed through three competing models; the VAR-CCC-GARCH model, the VAR-BEKK-GARCH model and the VAR-DCC-GARCH model. Our findings confirm that both markets are interdependent and corroborate with stock and flow oriented approaches. We find also that, comparing to optimal weights, hedge ratios are typically low, which denote that hedging effectiveness is quite good. Estimation of hedging effectiveness allow concluding that the incorporation of foreign exchange in a full stock portfolio increase the risk-adjusted return while reducing its variance. We note here that the forex market is overweighed for both portfolio designs and hedging strategies. More importantly, this evidence holds for all countries as well as for all considered models. These findings open up new insights for managerial and governmental policy purpose

Uncovering equity market contagion among BRICS countries: an application of the multivariate GARCH model

This paper assesses the extent of the transmission of financial shocks between South Africa and other members of the BRICS grouping in order to infer the degree of contagion during the period 1996-2012. The paper makes use of a multivariate VAR-DCC-GARCH model for this end. The paper finds evidence of cross-transmission and dependence between South Africa and Brazil. However, the empirical results show that South Africa is more affected by crises originating from China, India and Russia than these countries are by crises originating from South Africa. The findings of this paper should be of interest to policy makers in the BRICS grouping should they be considering the possibility of full capital market liberalization and to the international investor who is looking at diversifying portfolios in the BRICS grouping

Examining the dependence structure between carry trade and equity market returns in BRICS countries

This paper contributes to the literature on carry trade by investigating the dynamic correlation and the dependence structure between the US-dollar carry trade and equity markets in the BRICS economies during sample observations that include regular and crisis periods. Furthermore, the nonlinear Granger causality test based on the feed-forward neural networks (FFNN) model is used to assess how global volatility predicts the dynamic correlation between the US-dollar carry trade and equity markets in BRICS. The paper finds that the dynamic correlations between carry trade and equity markets in BRICS are more pronounced during most global crises. Moreover, the results of the SJC model showed that the lower tail dependence between the two series is higher during the various crises. Furthermore, the results of the empirical analysis show that global volatility predicts the dynamic correlations between carry trade and equity markets in BRICS only during crises. Asset managers and investors can benefit from this paper's findings regarding portfolio diversification, risk management, asset allocation, and hedging when dealing with equity assets and carry trades

Does the volatility spillovers between stock index futures and spot markets have home bias?

股指期货作为以一种重要的金融衍生工具，结束了股票现货市场和期货市场之间的分割状态，在期现两市之间信息传递上起着重要作用，期现两市间的波动溢出效应也是学术界研究的重点课题。2010年4月16日沪深300指数期货正式上市，引起国内外的广泛关注。作为与我国A股市场相关的唯一离岸指数期货新华富时A50指数期货，亦对我国股票市场也有较大的影响。 本文正是基于此，试图对以我国A股市场为标的的两个期货市场和现货市场之间波动性的相互关系进行实证研究，定量分析了沪深300指数、沪深300指数期货、A50指数和A50指数期货之间的信息传递过程和波动溢出效应。本文首先使用Andersen和Bollerslev(1...As an important financial derivative, stock index futures plays an important role in the information transmission between the spot and the futures markets. Volatility spillovers between the futures market and the spot market has been a key topic of academic research. Launched on April 16, 2010 on the China Financial Futures Exchange, the CSI300 index futures gets the attention of investors. As the...学位：经济学硕士院系专业：王亚南经济研究院_金融学(含保险学)学号：2772010115264