《Can stock market investors hedge energy risk? Evidence from Asia》

本文发表在2017年Energy Economics上。作者主要讨论了亚洲主要股票市场（中国，日本，和印度等国家）和能源大宗商品市场（石油，天气，煤）之间的联系。 作者发现亚洲股市和能源市场是随时间而变化的，故而作者建议亚洲投资者应选择能源市场进行风险对冲。

要点
•

The relation between energy and stock prices is investigated in the context of Asia.

•

There is time-varying integration between individual stock markets and the energy portfolio.

•

This relation can successfully hedge the common factor arising from energy risk.

简介

​The relationship between energy and stock prices is investigated in the context of Asia, including China and Japan. Oil, gas and coal prices are considered both individually and as an energy portfolio. Consistent with evidence from international markets, during the post Global Financial Crisis (GFC) period, Asian stock markets moved in tandem with oil prices. However, using asset pricing and portfolio theory, we identify a time-varying integration between individual stock markets and the energy portfolio, which in turn may limit the benefit of risk reduction through diversification. This relation can also be used to hedge the common factor arising from energy risk. Doing so provides benefits to investors in the form of positive time-varying risk adjusted returns