arbiter
JournalsPricingAccount

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

Thi Minh Huong Le

Studies in Economics and Finance2026https://doi.org/10.1108/sef-02-2025-0125article
AJG 1ABDC B
Weight
0.50

What the paper says

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.

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1108/sef-02-2025-0125

Or copy a formatted citation

@article{thi2026,
  title        = {{Adaptive hedging, optimal portfolios and structural breakpoints: exploring the oil and Asia-Pacific stocks Nexus}},
  author       = {Thi Minh Huong Le},
  journal      = {Studies in Economics and Finance},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1108/sef-02-2025-0125},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

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

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.