Artificial Intelligence Research and Development: Proceedings of the 15th - Google Livres

Please note that Internet Explorer version 8. Please refer to this blog post for more information.

In this work, our objective is to study in a first step links and interaction between oil and stock markets in Tunisia in terms of volatility at the sector-level, and then in a second step to determine the best hedging strategy for oil-stock portfolio against the risk of negative variation in stock market prices. Our methodology consist to model the data by a bivariate GARCH model to capture the effect in terms of volatility in the variation of the oil price on the different sector index, and to use the conditional variances and conditional correlation to calculate the hedging ratio and determinate the best hedging strategy.

Today's Stock Market News and Analysis - gedyfej.web.fc2.com

The empirical results indicate that the majority of relationships are unidirectional from the oil market to Tunisian stock market, and the conditional variance of a stock sector returns is affected not only by the volatility surprises of the stock market, but also by those of oil market.

The model GARCH-BEKK is more effective than the others versions to minimize the risk of oil-stock portfolio. Selection and peer-review under responsibility of the Tunisian Society for Financial Studies TSFS.

World Cargo News: the web's biggest index of freight and cargo handling news and features

Journals Books Register Sign in Sign in using your ScienceDirect credentials Username. Forgotten username or password? Sign in via your institution OpenAthens Other institution Recent Institutions.

Sign in using your ScienceDirect credentials Username. Download full text in PDF Download. JavaScript is disabled on your browser.

Please enable JavaScript to use all the features on this page. Procedia Economics and Finance Volume 13 , , Pages open access. Author links open the author workspace.

Opens the author workspace Opens the author workspace a. Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Anis Jarboui.

Click to expose these in author workspace Ahmed Ghorbel. Click to expose these in author workspace a Faculty of Economics and Management FSEG of Sfax, B.

Under a Creative Commons license. Abstract In this work, our objective is to study in a first step links and interaction between oil and stock markets in Tunisia in terms of volatility at the sector-level, and then in a second step to determine the best hedging strategy for oil-stock portfolio against the risk of negative variation in stock market prices.

Download full text in PDF. Published by Elsevier Ltd.

Asian Journal of Business and Management Sciences (AJBMS) -

Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy. Cookies are used by this site. For more information, visit the cookies page.