題目：Volatility Spillovers and Hedging between Oil and Pakistani Stock Market
主講人：常東風 副教授 （山東大學）
時間：2017年6月9日星期五下午15:00
地點：主樓六層會議室
主講人介紹：
常東風，山東大學經濟學院副教授，博士畢業于加拿大卡爾加里大學經濟系，師從國際著名能源經濟學家、宏觀經濟學家、Energy Economics 等期刊副主編Apostolos Serletis教授。常東風博士長期以來一直致力于能源市場的供求與宏觀政策、計量經濟學模型的創建與應用、以及貨幣政策等方面的研究。已在Economics Letters、Journal of Applied Econometrics、Macroeconomic Dynamics、以及International Journal of Environmental Research and Public Health 等國際領域內權威期刊發表多篇SSCI 論文。
內容介紹：
Using daily data from July 3, 1997 to December 31, 2016, this paper examines volatility spillovers between Pakistani stock returns and West Texas Intermediate (WTI) crude oil returns. The analysis focuses on the impact of shocks and volatility of stock/oil market returns over the pre-, during- and post-crisis periods of the 2008 financial crisis. A series of GARCH models are employed here and the parameter estimates are further used to calculate the optimal portfolio weights and hedge ratios of investing in both markets. Our findings provide supportive evidence of shocks and volatility transmission between the two markets over the pre-crisis, during-crisis and post-crisis periods; however, volatility in pre-crisis period turns out to be more sensitive. In addition, returns from oil market could be used to hedge potential risks of investing stock market as to minimize the portfolio risk without changing the expected returns.
（承辦：應用經濟系，科研與學術交流中心）
