Hedging the Oil Price Risk Factor on Airline Stock Returns in the Asia-Pacific: A Test of Effective Hedging Instruments

IF 1.6 Q3 BUSINESS, FINANCE

Australasian Accounting Business and Finance Journal Pub Date : 2023-01-01 DOI:10.14453/aabfj.v17i2.09

Scott Bernabas Felix, Jasman Tuyon, Hylmee Matahir, M. F. Ghazali

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Abstract

Focusing on the hedging-stock pricing research landscape, this research investigates the role of different futures hedging instruments, namely oil futures, gold futures, and VIX futures and the effect of net hedging benefits by employing them on oil price risk exposure to Asia-Pacific airline firms’ stock returns using the hedging-stock pricing model. This research examines 22 Asia-Pacific airline firms’ stock returns behaviour with monthly frequency data from 2010 to 2019. A complementary analysis approach using the fixed effect panel and quantile regressions are used to analyse the research model. The findings confirm the negative effects of oil price risk and the benefits of hedging oil price risk on airline stock returns, and the superiority of gold futures over oil futures and VIX futures as effective hedging instruments. The findings provide hedging insights to investors to manage equity investment against oil price risk. In the academic context, little is known about the benefits of cross-commodity hedging to reduce risk in equity investment and this work advances the hedging-stock pricing research. This research confirmed pairing of gold futures-airline stock produces an effective hedge. The equity investors could use cross-hedging strategy to enhance airline stock investment portfolio returns. 5

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亚太地区航空公司股票收益中油价风险因素的套期保值:有效套期工具的检验

本研究聚焦于套期保值股票定价研究领域，运用套期保值股票定价模型，探讨不同期货套期保值工具(石油期货、黄金期货和波动率指数期货)的作用，以及净套期保值收益对亚太航空公司股票收益的影响。本研究利用2010年至2019年的月度频率数据分析了22家亚太航空公司的股票回报行为。采用固定效应面板和分位数回归的互补分析方法对研究模型进行分析。研究结果证实了油价风险和对冲油价风险对航空公司股票收益的负面影响，以及黄金期货作为有效对冲工具优于石油期货和波动率指数期货。这些发现为投资者管理股票投资以抵御油价风险提供了对冲见解。学术界对跨商品套期保值对降低股权投资风险的作用知之甚少，本研究促进了套期保值-股票定价研究。该研究证实了黄金期货与航空股的配对可以产生有效的对冲。股权投资者可采用交叉对冲策略提高航空股投资组合的收益。5

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来源期刊

Australasian Accounting Business and Finance Journal BUSINESS, FINANCE-

CiteScore

3.90

自引率

15.80%

发文量

审稿时长

24 weeks

期刊介绍： The Australasian Accounting, Business and Finance Journal is a double blind peer reviewed academic journal. The main focus of our journal is to encourage research from areas of social and environmental critique, exploration and innovation as well as from more traditional areas of accounting, finance, financial planning and banking research. There are no fees or charges associated with submitting to or publishing in this journal.