We investigated return and volatility transmission between oil futures
prices and ten Asian emerging indices using a VAR-bivariate GARCH model.
We also analyzed the optimal weights and hedge ratios for optimizing
portfolios to minimize the exposure to risk associated with oil futures price
changes. We found no significant influence of oil futures price returns on
Asian stock returns. However, strong volatility spillover was observed from
oil futures price shocks and volatility to counterpart volatilities. In addition,
optimal weights and hedge ratios suggested that incorporating the oil asset
in a well-diversified portfolio effectively hedged the risks associated with oil
price volatility
