Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management
Abstract
1. Introduction
2. Model Specification
2.1. Marginal Distribution Models
2.2. Maximal Overlap Discrete Wavelet Transform (MODWT)
2.2.1. Discrete Wavelet Transform (DWT) and DWT-Based Multi-Resolution Analysis
2.2.2. MODWT and MODWT-Based Multi-Resolution Analysis
2.3. Copula Functions
2.4. Estimation Method
3. Data
4. Empirical Results
5. Risk Management Analysis
6. Conclusions
Author Contributions
Funding
Conflicts of Interest
Appendix A. Copula Functions
References
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Mean | Std.dev. | Skewness | Kurtosis | Jarque-Bera | |
---|---|---|---|---|---|
Oil | 01 | 0.0109 | −0.0434 | 7.0412 | 2804.1 *** |
Japan | 00 | 0.0063 | −0.3540 | 9.2208 | 6727.7 *** |
China | 01 | 0.0081 | −0.1059 | 9.5531 | 7377.8 *** |
South Korea | 01 | 0.0074 | −0.3795 | 9.3222 | 6958.8 *** |
Crude Oil | Japan | China | South Korea | |
---|---|---|---|---|
0 | 0 | 0 | 0 | |
(0) | (0) | (0) | (0) | |
−0.041 | 0.032 | 0.043 | −0.004 | |
(0.016) | (0.016) | (0.015) | (0.015) | |
0 | 0 | 0 | 0 | |
(0) | (0) | (0) | (0) | |
0.023 | 0.021 | 0.029 | 0.014 | |
(0.004) | (0.009) | (0.003) | (0.004) | |
0.953 | 0.890 | 0.922 | 0.943 | |
(0.007) | (0.015) | (0.008) | (0.004) | |
0.041 | 0.124 | 0.076 | 0.075 | |
(0.009) | (0.022) | (0.009) | (0.010) | |
0.924 | 0.929 | 0.979 | 0.931 | |
(0.020) | (0.020) | (0.020) | (0.018) | |
8.256 | 8.651 | 6.816 | 6.521 | |
(0.491) | (1.196) | (0.643) | (0.642) | |
(30) | 0.791 | 0.973 | 0.190 | 0.682 |
(30) | 0.138 | 0.768 | 0.184 | 0.545 |
Japan | China | South Korea | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Raw | D1 | D2 | D3 | D4 | D5 | D6 | Raw | D1 | D2 | D3 | D4 | D5 | D6 | Raw | D1 | D2 | D3 | D4 | D5 | D6 | |
Normal | |||||||||||||||||||||
0.069 | 0.008 | 0.111 | 0.142 | 0.085 | 0.176 | 0.234 | 0.112 | 0.039 | 0.155 | 0.175 | 0.212 | 0.283 | 0.277 | 0.115 | 0.057 | 0.148 | 0.185 | 0.159 | 0.170 | 0.285 | |
(0.015) | (0.020) | (0.019) | (0.019) | (0.025) | (0.030) | (0.019) | (0.015) | (0.019) | (0.019) | (0.019) | (0.025) | (0.028) | (0.019) | (0.015) | (0.019) | (0.019) | (0.019) | (0.026) | (0.030) | (0.018) | |
log | 9.807 | 0.129 | 25.350 | 41.659 | 14.810 | 64.622 | 116.356 | 25.884 | 3.160 | 50.066 | 63.891 | 95.053 | 171.456 | 164.292 | 27.293 | 6.608 | 45.477 | 71.346 | 52.904 | 60.130 | 174.298 |
GOF | 0.640 | 0.920 | 0.890 | 0.130 | 0.350 | 0.540 | 0.100 | 0.340 | 0.540 | 0.420 | 0.140 | 0.290 | 0.680 | 0 | 0.670 | 0.940 | 0.710 | 0.820 | 0.110 | 0.070 | 0.280 |
Clayton | |||||||||||||||||||||
0.067 | 0.015 | 0.185 | 0.252 | 0.243 | 1.118 | 2.413 | 0.130 | 0.076 | 0.257 | 0.338 | 0.576 | 1.415 | 2.359 | 0.120 | 0.100 | 0.234 | 0.344 | 0.440 | 1.108 | 2.502 | |
(0.017) | (0.021) | (0.027) | (0.028) | (0.033) | (0.044) | (0.056) | (0.019) | (0.025) | (0.027) | (0.028) | (0.033) | (0.045) | (0.056) | (0.019) | (0.026) | (0.027) | (0.028) | (0.033) | (0.044) | (0.057) | |
0 | 0 | 0.023 | 0.064 | 0.057 | 0.538 | 0.750 | 0.005 | 0 | 0.067 | 0.128 | 0.294 | 0.613 | 0.745 | 0.003 | 0.001 | 0.052 | 0.133 | 0.207 | 0.535 | 0.758 | |
log | 8.871 | 0.195 | 26.195 | 42.014 | 25.222 | 266.924 | 818.850 | 29.088 | 4.892 | 48.171 | 76.385 | 142.574 | 438.961 | 806.460 | 24.742 | 8.244 | 40.391 | 77.834 | 83.290 | 260.970 | 886.425 |
GOF | 0.480 | 0.210 | 0.040 | 0 | 0.010 | 0 | 0 | 0.640 | 0 | 0 | 0.010 | 0 | 0 | 0 | 0.450 | 0.630 | 0.050 | 0 | 0.020 | 0 | 0 |
Rotated Gumbel | |||||||||||||||||||||
1.034 | 1.018 | 1.099 | 1.139 | 1.132 | 1.673 | 2.473 | 1.071 | 1.047 | 1.139 | 1.177 | 1.296 | 1.862 | 2.471 | 1.066 | 1.061 | 1.130 | 1.187 | 1.229 | 1.668 | 2.539 | |
(0.009) | (0.012) | (0.013) | (0.014) | (0.016) | (0.027) | (0.035) | (0.011) | (0.013) | (0.014) | (0.015) | (0.019) | (0.028) | (0.035) | (0.011) | (0.013) | (0.014) | (0.015) | (0.018) | (0.027) | (0.036) | |
0.045 | 0.025 | 0.121 | 0.162 | 0.155 | 0.487 | 0.677 | 0.090 | 0.062 | 0.162 | 0.198 | 0.293 | 0.549 | 0.676 | 0.085 | 0.079 | 0.154 | 0.207 | 0.242 | 0.485 | 0.686 | |
log | 8.446 | 1.338 | 31.604 | 54.808 | 37.146 | 325.876 | 973.632 | 32.569 | 7.968 | 59.365 | 87.819 | 156.087 | 517.525 | 981.967 | 27.484 | 13.357 | 51.723 | 95.710 | 97.195 | 319.391 | 1.053E03 |
GOF | 0.250 | 0.150 | 0.050 | 0 | 0.050 | 0 | 0 | 0.840 | 0.380 | 0 | 0.150 | 0 | 0 | 0 | 0.240 | 0.690 | 0.030 | 0 | 0.080 | 0 | 0 |
Student’s t | |||||||||||||||||||||
0.069 | 0.006 | 0.122 | 0.157 | 0.112 | 0.381 | 0.614 | 0.112 | 0.048 | 0.174 | 0.199 | 0.256 | 0.518 | 0.639 | 0.115 | 0.068 | 0.170 | 0.207 | 0.201 | 0.372 | 0.653 | |
(0.016) | (0.019) | (0.019) | (0.018) | (0.020) | (0.029) | (0.052) | (0.016) | (0.019) | (0.018) | (0.018) | (0.020) | (0.027) | (0.096) | (0.016) | (0.019) | (0.018) | (0.018) | (0.020) | (0.030) | (0.066) | |
0 | 0.166 | 0.206 | 0.363 | 0.488 | 0.667 | 0.909 | 0.030 | 0.196 | 0.217 | 0.350 | 0.501 | 0.667 | 0.909 | 0.026 | 0.188 | 0.241 | 0.407 | 0.467 | 0.667 | 0.909 | |
(0) | (0.035) | (0.036) | (0.032) | (0.032) | (0.047) | (0.149) | (0.016) | (0.033) | (0.035) | (0.032) | (0.033) | (0.062) | (0.315) | (0.029) | (0.034) | (0.034) | (0.031) | (0.033) | (0.047) | (0.223) | |
0.005 | 0.034 | 0.077 | 0.178 | 0.215 | 0.381 | 0.549 | 0 | 0.056 | 0.097 | 0.186 | 0.275 | 0.450 | 0.563 | 0 | 0.055 | 0.111 | 0.217 | 0.240 | 0.377 | 0.572 | |
log | 9.806 | 8.438 | 37.583 | 86.714 | 101.237 | 522.136 | 1.107E03 | 27.916 | 17.577 | 66.303 | 109.867 | 204.256 | 687.731 | 1.143E03 | 28.597 | 18.521 | 65.776 | 140.545 | 143.103 | 524.385 | 1.180E03 |
GOF | 0.680 | 0.350 | 0.790 | 0.870 | 0.760 | 0.100 | 0.150 | 0.170 | 0.550 | 0.760 | 0.230 | 0.330 | 0.720 | 0 | 0.770 | 0.840 | 0.710 | 0.900 | 0.360 | 0.110 | 0.390 |
SJC | |||||||||||||||||||||
0 | 0 | 0.049 | 0.113 | 0.080 | 0.507 | 0.718 | 0 | 0 | 0.098 | 0.078 | 0.180 | 0.578 | 0.740 | 0.001 | 0 | 0.121 | 0.130 | 0.143 | 0.515 | 0.737 | |
(0) | (0) | (0.029) | (0.030) | (0.037) | (0.016) | (0.008) | (0.002) | (0) | (0.029) | (0.032) | (0.033) | (0.013) | (0.007) | (0.003) | (0) | (0.029) | (0.030) | (0.034) | (0.016) | (0.007) | |
0.002 | 0 | 0.026 | 0.041 | 0.080 | 0.477 | 0.703 | 0.035 | 0.011 | 0.059 | 0.142 | 0.280 | 0.549 | 0.686 | 0.020 | 0.024 | 0.023 | 0.119 | 0.208 | 0.473 | 0.709 | |
(0.003) | (0) | (0.026) | (0.028) | (0.037) | (0.018) | (0.010) | (0.070) | (0.011) | (0.028) | (0.030) | (0.025) | (0.015) | (0.010) | (0.012) | (0.004) | (0.026) | (0.031) | (0.029) | (0.019) | (0.009) | |
log | 9.817 | 0.196 | 34.121 | 61.196 | 37.787 | 433.488 | 1.163E03 | 31.686 | 5.736 | 66.539 | 90.553 | 171.933 | 650.844 | 1.203E03 | 29.012 | 10.434 | 62.106 | 102.417 | 106.582 | 435.570 | 1.251E03 |
GOF | 0.970 | 0.920 | 0.960 | 1 | 1 | 1 | 1 | 1 | 0.950 | 0.990 | 1 | 1 | 1 | 0.980 | 0.920 | 0.940 | 0.950 | 1 | 0.910 | 1 | 1 |
Japan | China | South Korea | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Raw | D1 | D2 | D3 | D4 | D5 | D6 | Raw | D1 | D2 | D3 | D4 | D5 | D6 | Raw | D1 | D2 | D3 | D4 | D5 | D6 | |
−12.81 | −13.47 | 1.57 | 4.69 | 5.91 | 3.64 | 7.78 | −11.74 | −20.69 | 1.29 | 4.30 | 5.88 | 7.96 | 2.44 | −9.87 | −14.31 | 1.88 | 4.44 | 6.22 | 7.24 | 2.20 | |
(2.35) | (0.57) | (0.49) | (0.48) | (0.39) | (0.10) | (0.14) | (2.55) | (0.40) | (0.43) | (0.37) | (0.37) | (0.18) | (0.34) | (8.59) | (0.63) | (0.49) | (0.30) | (0.27) | (0.07) | (0) | |
0.03 | 0 | −16.29 | −23.51 | −25.15 | −15.96 | −21.41 | 0.08 | 0 | −12.25 | −21.78 | −25.48 | −28.01 | −11.45 | −3.38 | 0.01 | −14.12 | −20.81 | −26.98 | −24.57 | −14.06 | |
(0.29) | (0) | (2.97) | (2.50) | (1.64) | (0.24) | (0.36) | (0.72) | (0) | (1.97) | (1.81) | (2.16) | (1.80) | (1.35) | (10.93) | (0) | (2.46) | (1.63) | (2.20) | (0.86) | (0) | |
0 | 0 | 0.32 | −3.47 | −3.97 | 0.98 | −4.61 | 0 | 0 | 0.52 | −3.53 | −4.06 | −4.67 | 0.68 | −0.01 | 0 | 0.93 | −3.51 | −3.99 | −4.37 | 1.07 | |
(0) | (0) | (0.80) | (0.13) | (0.12) | (0.01) | (0.05) | (0.30) | (0.01) | (0.45) | (0.18) | (0.11) | (0.07) | (0.24) | (0) | (0) | (0.44) | (0.14) | (0.12) | (0.07) | (0) | |
−10.01 | −14.08 | 2.09 | 4.79 | 6.89 | 6.92 | 8.10 | 0.23 | 3.45 | 1.32 | 5.11 | 6.62 | 6.93 | 2.30 | 2.45 | 2.54 | 2.40 | 4.19 | 6.29 | 7.20 | 2.03 | |
(7.62) | (0.51) | (0.58) | (0.38) | (0.28) | (0.12) | (0.04) | (0.87) | (0.80) | (0.49) | (0.28) | (0.27) | (0.23) | (0.47) | (1.06) | (0.66) | (0.65) | (0.27) | (0.26) | (0.23) | (0) | |
−2.27 | 0 | −18.63 | −22.96 | −29.38 | −24.34 | −22.88 | −12.78 | −23.62 | −13.33 | −21.91 | −23.85 | −23.88 | −12.16 | −20.54 | −17.67 | −19.17 | −19.95 | −24.93 | −27.22 | −14.07 | |
(2.64) | (0) | (3.15) | (1.86) | (2.12) | (0.26) | (0.25) | (3.62) | (3.91) | (2.21) | (1.51) | (1.47) | (2.02) | (1.71) | (5.34) | (2.77) | (3.64) | (1.51) | (1.88) | (1.05) | (0) | |
0.01 | 0 | 0.24 | −3.37 | −4.05 | −4.13 | −4.97 | 1.66 | −4.61 | 0.71 | −3.51 | −4.09 | −4.33 | 0.82 | −11.62 | −5.95 | −1.81 | −3.42 | −4.04 | −4.31 | 1.43 | |
(0.01) | (0) | (0.72) | (0.17) | (0.08) | (0.09) | (0.03) | (1.41) | (1.36) | (0.85) | (0.14) | (0.11) | (0.06) | (0.34) | (3.75) | (2.31) | (1.30) | (0.14) | (0.10) | (0.17) | (0) | |
log | 9.02 | −2.840 | 64.32 | 227.79 | 469.93 | 985.88 | 1939 | 35.97 | 12.72 | 101.49 | 300.78 | 586.14 | 1252 | 2083 | 33.03 | 21.60 | 105.82 | 289.50 | 478.24 | 1011 | 1966 |
Raw | D1 | D2 | D3 | D4 | D5 | D6 | |
---|---|---|---|---|---|---|---|
Panel A. Portfolio variance | |||||||
Japan | 0.295 | 0.296 | 0.262 | 0.222 | 0.200 | 0.104 | 0.063 |
(0.048) | (0.042) | (0.055) | (0.081) | (0.100) | (0.089) | (0.065) | |
China | 0.295 | 0.296 | 0.265 | 0.206 | 0.120 | 0.088 | 0.121 |
(0.047) | (0.044) | (0.055) | (0.080) | (0.093) | (0.098) | (0.072) | |
South Korea | 0.280 | 0.272 | 0.265 | 0.203 | 0.152 | 0.106 | 0.112 |
(0.048) | (0.045) | (0.060) | (0.071) | (0.100) | (0.102) | (0.085) | |
Panel B. Expected shortfall | |||||||
Japan | 0.176 | 0.159 | 0.125 | 0.084 | 0.075 | 0.044 | 0.043 |
(0.053) | (0.049) | (0.052) | (0.065) | (0.071) | (0.055) | (0.036) | |
China | 0.152 | 0.135 | 0.119 | 0.069 | 0.025 | −0.002 | 0.031 |
(0.052) | (0.052) | (0.050) | (0.063) | (0.062) | (0.059) | (0.039) | |
South Korea | 0.164 | 0.128 | 0.130 | 0.081 | 0.048 | 0.056 | 0.063 |
(0.050) | (0.051) | (0.054) | (0.055) | (0.067) | (0.065) | (0.047) |
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Cai, X.; Hamori, S.; Yang, L.; Tian, S. Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management. Energies 2020, 13, 294. https://doi.org/10.3390/en13020294
Cai X, Hamori S, Yang L, Tian S. Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management. Energies. 2020; 13(2):294. https://doi.org/10.3390/en13020294
Chicago/Turabian StyleCai, Xiaojing, Shigeyuki Hamori, Lu Yang, and Shuairu Tian. 2020. "Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management" Energies 13, no. 2: 294. https://doi.org/10.3390/en13020294
APA StyleCai, X., Hamori, S., Yang, L., & Tian, S. (2020). Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management. Energies, 13(2), 294. https://doi.org/10.3390/en13020294