Dependence among Energy and Asian Emerging Stocks: A Dynamic Conditional Correlation Approach

Authors

Nazakat Hussain

PhD. Scholar, Department of Business Administration, Iqra University Islamabad, Pakistan

Muhammad Mudassar Anwar

Assistant Professor, Department of Commerce, University of Kotli Azad Jammu and Kashmir, Kotli, Azad Kashmir, Pakistan

Zafar Iqbal

Assistant Professor, MUST Business School, Mirpur University of Science and Technology (MUST), 10250 Mirpur Azad Kashmir, Pakistan

DOI: https://doi.org/10.35484/pssr.2020(4-II)66

Keywords

AEEMs Stock Markets Contagion DCC GARCH Model Energy Market Eurozone Crisis

Abstract

This paper is an endeavor to investigate the contagion effect between energy market and Asian Emerging Equity Markets (AEEMs) during the Eurozone debt crisis. Multivariate GARCH-DCC model is applied on data series from 30-01-2005 to 31-01-2012. The results affirm a significant increase in dependence between energy market and equity markets at the time of Eurozone crisis as compared to pre-crisis time, therefore supporting the presence of contagion in the sense of Forbes and Rigobon's (2002). The study implies that investors should include other commodities as well in order to hedge the equity portfolio risk at the time of crisis.