TY  - JOUR
AB  - Purpose The purpose of this paper is to analyze the optimal hedging strategy of the oil-stock dependence structure.Design/methodology/approach The methodology consists to model the data over the daily period spanning from January 02, 2002 to May 19, 2016 by a various copula functions to better modeling the dependence between crude oil market and stock markets, and to use dependence coefficients and conditional variance to calculate optimal portfolio weights and optimal hedge ratios, and to suggest the best hedging strategy for oil-stock portfolio.Findings The findings show that the Gumbel copula is the best model for modeling the conditional dependence structure of the oil and stock markets in most cases. They also indicate that the best hedging strategy for oil price by stock market varies considerably over time, but this variation depends on both the index introduced and the model used. However, the conditional copula method with skewed student more effective than the other models to minimize the risk of oil-stock portfolio.Originality/value This research implication can be valuable for portfolio managers and individual investors who seek to make earnings by diversifying their portfolios. The findings of this study provide evidence of the importance of stock assets for making an optimal portfolio consisting of oil in the case of investments in oil and stock markets. This paper attempts to fill the voids in the literature on volatility among oil prices and stock markets in two important areas. First, it uses copulas to investigate the conditional dependence structure of the oil crude and stock markets in the oil exporting and importing countries. Second, it uses the dependence coefficients and conditional variance to calculate dynamic hedge ratios and risk-minimizing optimal portfolio weights for oil–stock.
VL  - 14
IS  - 2
SN  - 1750-6220
DO  - 10.1108/IJESM-04-2019-0010
UR  - https://doi.org/10.1108/IJESM-04-2019-0010
AU  - Hamma Wajdi
AU  - Salhi Bassem
AU  - Ghorbel Ahmed
AU  - Jarboui Anis
PY  - 2019
Y1  - 2019/01/01
TI  - Conditional dependence structure between oil prices and international stock markets: Implication for portfolio management and hedging effectiveness
T2  - International Journal of Energy Sector Management
PB  - Emerald Publishing Limited
SP  - 439
EP  - 467
Y2  - 2024/04/25
ER  -