时  间： 2020年6月10日 14:00-15:30

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主  题： Hedging stocks with oil

论文摘要：

We study the feasibility of hedging stocks with oil. The Dynamic Conditional Correlation (DCC) approach allows for the calculation of optimal hedge ratios and corresponding hedge portfolio returns. Our results show that there are distinct economic benefits from hedging stocks with oil, although the effectiveness of hedging is both time-varying and market-state-dependent. The event of the Global Financial Crisis (GFC) is shown to affect the effectiveness of hedging. During the GFC, a positive jump in the hedge ratios occurs and hedge effectiveness increases. Among a set of common financial and macroeconomic drivers, we identify the implied volatility index VIX as being the most important. During times of global financial uncertainty, investors reduce stock positions more than commodity positions, thus VIX shocks negatively affect the portfolio returns of stock-oil hedges. The results also show that an appreciation of the U.S. dollar against the euro is associated with reduced hedge portfolio returns. From the GFC onwards, we document an increased significance of the gold price and the term spread in explaining hedge portfolio returns.

主讲人简介：

Batten教授目前是马来西亚北方大学的CIMB-UUM银行与金融主席，澳大利亚悉尼大学商学院金融学科荣誉教授，和华东科技大学荣誉讲席教授。现担任Journal of International Financial Markets, Institutions & Money、Emerging Markets Review与Finance Research Letters三本SSCI期刊主编。在进入学术界前，他曾是东京银行、Credit Lyonnais, IBM Consulting等多家公司供职。Batten教授因在亚太地区发展固定收益证券、推广SWIFT全球结算系统、人民币的国际化和国际清算银行的全球监管角色研究上，荣获多项来自亚洲开发银行、世界银行的研究资助。他还曾是Eurasian Business and Economics Society协会主席，并担任多个全国性经济和金融研究协会的外部研究员。目前，他是越南胡志明市经济大学院长特别委任的学术委员会成员和顾问。