标题：The importance of oil assets for portfolio optimization: The analysis of firm level stocks
作者：Sarwar, Suleman; Shahbaz, Muhammad; Anwar, Awais; Tiwari, Aviral Kumar
作者机构：[Sarwar, Suleman] Univ Jeddah, Finance & Insurance Dept, Jeddah, Saudi Arabia.; [Sarwar, Suleman] Shandong Univ, Sch Econ, Jinan, Shandong, Peoples 更多
通讯作者：Sarwar, Suleman;Sarwar, S;Sarwar, S
通讯作者地址：[Sarwar, S]Univ Jeddah, Finance & Insurance Dept, Jeddah, Saudi Arabia;[Sarwar, S]Shandong Univ, Sch Econ, Jinan, Shandong, Peoples R China.
关键词：Volatility spillover; Portfolio optimization; BEKK-GARCH; Firm level; stocks
摘要：This study aimed to analyze the shock transmission and volatility spillover between firm stocks and oil assets by using the BEKK-GARCH model in which a variance and covariance series are used for portfolio optimization. For this purpose, we use the daily data from 107 Pakistani-listed firms covering the period from January 2000 to August 2017. Our overall results confirm the interdependence between firm stocks and oil assets. Additionally, there is strong evidence of volatility spillover from stocks to oil and from oil to stocks. The results from the portfolio optimization show the importance of oil assets in the formation of an optimal portfolio. Moreover, we find that in the case of manufacturing firm stocks, the investors should spend >50% of their total investment to purchase oil assets, while the remaining investment should be used to acquire firm stocks. On the other hand, in the case of investments in oil and gas firm stocks, it is evident that investors can form an optimal portfolio by spending a larger proportion of their investments on firm stocks rather than on oil assets. This research implication can be valuable for portfolio managers and individual investors who are willing to invest in Pakistani stocks. (C) 2018 Elsevier B.V. All rights reserved.