On June 9th, 2017, A. Prof. Dong-feng Chang from Shandong University, gave a report entitled “Volatility Spillovers and Hedging between Oil and Pakistani Stock Market” at CEEP-BIT. The report was hosted by Prof. Hua Liao, some other teachers and students attended the report.
　　In this report, A. Prof. Dong-feng Chang discussed whether there are volatility spillovers between oil market and stock market in Pakistan and how to hedge potential risks. Using daily data from July 3, 1997 to December 31, 2016, this research examines volatility spillovers between Pakistani stock returns and West Texas Intermediate (WTI) crude oil returns. The analysis focuses on the impact of shocks and volatility of stock/oil market returns over the pre-, during- and post-crisis periods of the 2008 financial crisis. A series of GARCH models are employed here and the parameter estimates are further used to calculate the optimal portfolio weights and hedge ratios of investing in both markets. Their findings provide supportive evidence of shocks and volatility transmission between the two markets over the pre-crisis, during-crisis and post-crisis periods; however, volatility in pre-crisis period turns out to be more sensitive. In addition, returns from oil market could be used to hedge potential risks of investing stock market as to minimize the portfolio risk without changing the expected returns.
　　A. Prof. Dong-feng Chang is committed to the supply and demand of energy market, macroeconomic policies, creation and application of econometric model and monetary policy. Many of her papers have been published in some international journals such as Economics Letters, Journal of Applied Econometrics, Macroeconomic Dynamics and International Journal of Environmental Research and Public Health.
　　After this lecture, teachers and students from CEEP-BIT had a heated discussion with A. Prof. Dong-feng Chang.