Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1708772
Multiscale oil-stocks dynamics: the case of Visegrad group and Russia
Dejan Živkov
orcid.org/0000-0003-2357-3250
Jasmina Đurašković
Nataša Papić-Blagojević
Sažetak
This paper tries to determine the strength of the interdependence
between Brent oil market and the stock markets of oil importing
Visegrad group countries and oil exporting Russia in different
time-horizons. The paper uses several novel and elaborate methodologies
– bivariate DCC-EGARCH model, wavelet correlations
and phase difference. The results of DCC model show that all
dynamic correlations between Brent oil and the selected stock
indices are low at daily-frequency level. The magnitude of mutual
correlations does not exceed 20% for Visegrad countries, while
for Russia it goes little bit over 30%. Wavelet correlations in shortterm
confirms DCC results, whereby this relatively weak connection
is found up to 32 days. However, in midterm and long-term,
wavelet correlations strengthen, and go above 50% in midterm
and even beyond 80% in long-term for majority of the indices.
Slovakian SAX index has stronger wavelet correlation in 32 days
than in 64 days, and it goes around 23%. This means that SAX
can be coupled with Brent oil for diversification purposes in both
short-term and midterm portfolios. Besides, phase-difference
methodology provides an evidence that SAX was in anti-phase
position in two separate occasions, meaning that SAX can also
serve well for hedging purposes.
Ključne riječi
Brent oil; Visegrad group stocks; DCC-EGARCH; wavelet correlations; phase-difference
Hrčak ID:
254357
URI
Datum izdavanja:
9.2.2021.
Posjeta: 500 *