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
- Thi Minh Huong Le
Institutions
- University of Da Nang (VN)
- Danang Architecture University (VN)
- Huazhong University of Science and Technology (CN)
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