Energy Economics ( IF 12.8 ) Pub Date : 2023-02-10 , DOI: 10.1016/j.eneco.2023.106537 Prachi Jain, Debasish Maitra, Sang Hoon Kang
The paper examines the interactions of downside risks between crude oil and the automobile sector through the employment of Diebold and Yilmaz (2012) and Diebold and Yılmaz (2014) framework in a static and time-varying perspective. The network connectedness is found to intensify during the periods of the Global Financial Crisis (2007-09) and the COVID-19 pandemic (2020-21). Crude oil remains a net receiver of downside risks along with the automobile firms such as FAW and SAIC while Daimler, BMW, and Renault are the prominent transmitters of downside risk in the network. Further, we find that the net pairwise spillover of downside risk of oil on automobile stocks is time-variant. The risk diversification strategies using optimal portfolios that minimise VaR95, CVaR95, and maximise quadratic utility gains are constructed with oil futures contracts and evaluated for their hedging efficiency and net utility gains. The overall hedging efficiency and net utility gains are highest during the Global Financial crisis period, followed by COVID-19, the post-crisis, and the pre-crisis periods. The findings hold significance for investors, fund managers, and policymakers.
中文翻译:
油价与汽车行业:动态关联性和投资组合影响与下行风险
本文通过采用 Diebold 和 Yilmaz(2012 年)以及 Diebold 和 Yılmaz(2014 年)的框架,从静态和时变的角度研究了原油与汽车行业之间下行风险的相互作用。在全球金融危机 (2007-09) 和 COVID-19 大流行 (2020-21) 期间,网络连通性被发现会加强。原油与一汽和上汽等汽车公司一起仍然是下行风险的净接收者,而戴姆勒、宝马和雷诺是网络中下行风险的主要传递者。此外,我们发现石油下行风险对汽车股的净成对溢出效应是随时间变化的。使用最小化 VaR95、CVaR95 的最优投资组合的风险分散策略,和最大化二次效用收益是用石油期货合约构建的,并评估其套期保值效率和净效用收益。总体对冲效率和净效用收益在全球金融危机期间最高,其次是 COVID-19、危机后和危机前时期。这些发现对投资者、基金经理和政策制定者具有重要意义。