题目：Volatility Spillovers and Hedging between Oil and Pakistani Stock Market

主讲人：常东风 副教授 （山东大学）

时间：2017年6月9日星期五下午15:00 

地点：主楼六层会议室

主讲人介绍：

    常东风，山东大学经济学院副教授，博士毕业于加拿大卡尔加里大学经济系，师从国际著名能源经济学家、宏观经济学家、Energy Economics 等期刊副主编Apostolos Serletis教授。常东风博士长期以来一直致力于能源市场的供求与宏观政策、计量经济学模型的创建与应用、以及货币政策等方面的研究。已在Economics Letters、Journal of Applied Econometrics、Macroeconomic Dynamics、以及International Journal of Environmental Research and Public Health 等国际领域内权威期刊发表多篇SSCI 论文。

内容介绍：

    Using daily data from July 3, 1997 to December 31, 2016, this paper examines volatility spillovers between Pakistani stock returns and West Texas Intermediate (WTI) crude oil returns. The analysis focuses on the impact of shocks and volatility of stock/oil market returns over the pre-, during- and post-crisis periods of the 2008 financial crisis. A series of GARCH models are employed here and the parameter estimates are further used to calculate the optimal portfolio weights and hedge ratios of investing in both markets. Our findings provide supportive evidence of shocks and volatility transmission between the two markets over the pre-crisis, during-crisis and post-crisis periods; however, volatility in pre-crisis period turns out to be more sensitive. In addition, returns from oil market could be used to hedge potential risks of investing stock market as to minimize the portfolio risk without changing the expected returns.

（承办：应用经济系，科研与学术交流中心）