GSTDTAP  > 气候变化
DOI10.1016/j.enpol.2018.01.048
Addressing COP21 using a stock and oil market integration index
Batten, Jonathan A.1,3; Kinateder, Harald2; Szilagyi, Peter G.3; Wagner, Niklas F.2
2018-05-01
发表期刊ENERGY POLICY
ISSN0301-4215
EISSN1873-6777
出版年2018
卷号116页码:127-136
文章类型Article
语种英语
国家Malaysia; Germany; Hungary
英文摘要

COP21 implementation should lead to a decline in the future demand for fossil fuels. One key implication for investors is how to manage this risk. We construct a monthly stock and oil market integration index and demonstrate that oil investors can offset adverse oil price risk by holding diversified global stock portfolios. The portfolios are formed from eight different combinations of developed and emerging stock markets. We show that measuring the degree of stock-oil market integration is critical to managing the time-varying degrees of integration. Under normal market conditions markets are segmented and this yields the opportunity for oil investors to diversify energy price risk through the purchase of stocks. The optimal oil-stock diversified portfolio provides risk-adjusted positive benefits to investors, with portfolio weights changing over time as COP21 implementation proceeds.


英文关键词Commodities COP21 Financial market integration International asset pricing Market risk WTI Oil Risk of climate change Systematic risk
领域气候变化
收录类别SCI-E ; SSCI
WOS记录号WOS:000430758200013
WOS关键词FINANCIAL INTEGRATION ; EQUITY MARKETS ; RISK PREMIUM ; VOLATILITY ; PRICES ; ASIA
WOS类目Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies
WOS研究方向Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology
引用统计
文献类型期刊论文
条目标识符http://119.78.100.173/C666/handle/2XK7JSWQ/18601
专题气候变化
作者单位1.Univ Utara Malaysia, Sch Econ Finance & Banking, Sintok 06010, Kedah Darul Ama, Malaysia;
2.Univ Passau, Dept Business & Econ, Innstr 27, D-94030 Passau, Germany;
3.Cent European Univ, Nador Utca 9, H-1051 Budapest, Hungary
推荐引用方式
GB/T 7714
Batten, Jonathan A.,Kinateder, Harald,Szilagyi, Peter G.,et al. Addressing COP21 using a stock and oil market integration index[J]. ENERGY POLICY,2018,116:127-136.
APA Batten, Jonathan A.,Kinateder, Harald,Szilagyi, Peter G.,&Wagner, Niklas F..(2018).Addressing COP21 using a stock and oil market integration index.ENERGY POLICY,116,127-136.
MLA Batten, Jonathan A.,et al."Addressing COP21 using a stock and oil market integration index".ENERGY POLICY 116(2018):127-136.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
查看访问统计
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Batten, Jonathan A.]的文章
[Kinateder, Harald]的文章
[Szilagyi, Peter G.]的文章
百度学术
百度学术中相似的文章
[Batten, Jonathan A.]的文章
[Kinateder, Harald]的文章
[Szilagyi, Peter G.]的文章
必应学术
必应学术中相似的文章
[Batten, Jonathan A.]的文章
[Kinateder, Harald]的文章
[Szilagyi, Peter G.]的文章
相关权益政策
暂无数据
收藏/分享
所有评论 (0)
暂无评论
 

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。