Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

This study investigates volatility spillover between crude oil futures and East Asian stock markets using the AR(1)-FIAPARCH-DCC model during period 1998-2016. Empirical results of this study were summarized as follows. First, this study finds the evidence of long memory and asymmetry in volatility between crude oil futures and east Asian stock markets. Second, conditional correlations show that the pair of WTIF-China has the highest correlation and the pair of WTIF-Japan has the lowest correlation. Third, conditional correlations between crude oil futures and East Asian stock markets increase after the 2008 global financial crisis. Fourth, the average hedge ratio is highest for pair of WTIF-Hong Kong, while that of WTIF-Japan is the lowest, this result shows that a pair of WTIF-Japan offers the most efficient hedge ratio. Lastly, time-varing hedge ratios increase rapidly as do structural changes such as the financial crisis.