Adaptive hedging, optimal portfolios and structural breakpoints: exploring the oil and Asia-Pacific stocks Nexus

Purpose This study aims to evaluate adaptive hedging strategies for the oil–stock nexus in the Asia-Pacific region. This study also aims to compare management policies for risk spillover across M-GARCH models, focusing on findings from emerging and advanced nations. Design/methodology/approach The study used a novel integration of DCC-GARCH, GO-GARCH, aDCC-GARCH and EGARCH-DCC to build hedging strategies. Meanwhile, analysis of structural breaks shows that the different global crises have altered the linkages in the oil–stock nexus. Findings Outcomes revealed that GO-GARCH is suitable for conservative investors. DCC-GARCH and aDCC-GARCH are more responsive to active investors. EGARCH-DCC offers a balance between stability and sensitivity. Oil is the most effective hedging strategy for stocks in Singapore, and the least effective in the Philippines. Optimal allocations with oil reveal a preference in Vietnam and a low weight in Malaysia. Structural breakpoints analysis highlights decision-making in Singapore, India and Vietnam. Research limitations/implications Future research may be expanded to other regions and higher frequencies. This research aims to assist participants in refining risk management across both long- and short-term crises, in line with each M-GARCH model. Originality/value The study makes a novel contribution by using various multivariate GARCH volatility models to allocate oil–stock nexus volatility across the Asia-Pacific region. Certain breakpoints and specific dates across multiple indices in different countries highlight the link between financial markets’ reactions and the global crisis.

Authors

Institutions

Publication Details

Journal
Studies in Economics and Finance
Published
2026-03-09
DOI
https://doi.org/10.1108/sef-02-2025-0125
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
0.00
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

Adaptive hedging, optimal portfolios and structural breakpoints: exploring the oil and Asia-Pacific stocks Nexus

Thi Minh Huong Le
Studies in Economics and Finance
Market Dynamics and Volatility
article

Adaptive hedging, optimal portfolios and structural breakpoints: exploring the oil and Asia-Pacific stocks Nexus

Thi Minh Huong Le
article en

Abstract

Purpose This study aims to evaluate adaptive hedging strategies for the oil–stock nexus in the Asia-Pacific region. This study also aims to compare management policies for risk spillover across M-GARCH models, focusing on findings from emerging and advanced nations. Design/methodology/approach The study used a novel integration of DCC-GARCH, GO-GARCH, aDCC-GARCH and EGARCH-DCC to build hedging strategies. Meanwhile, analysis of structural breaks shows that the different global crises have altered the linkages in the oil–stock nexus. Findings Outcomes revealed that GO-GARCH is suitable for conservative investors. DCC-GARCH and aDCC-GARCH are more responsive to active investors. EGARCH-DCC offers a balance between stability and sensitivity. Oil is the most effective hedging strategy for stocks in Singapore, and the least effective in the Philippines. Optimal allocations with oil reveal a preference in Vietnam and a low weight in Malaysia. Structural breakpoints analysis highlights decision-making in Singapore, India and Vietnam. Research limitations/implications Future research may be expanded to other regions and higher frequencies. This research aims to assist participants in refining risk management across both long- and short-term crises, in line with each M-GARCH model. Originality/value The study makes a novel contribution by using various multivariate GARCH volatility models to allocate oil–stock nexus volatility across the Asia-Pacific region. Certain breakpoints and specific dates across multiple indices in different countries highlight the link between financial markets’ reactions and the global crisis.

Studies in Economics and Finance
University of Da Nang (VN), Danang Architecture University (VN), Huazhong University of Science and Technology (CN)
Peace, Justice and strong institutions
Openalex Percentile: Top 33%
Market Dynamics and Volatility
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.