The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix

The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix

Airline equity has been a popular part of investors and fund managers’ investment portfolio due to significant important of the industry to trade and financial markets. In this context, oil price risk has been acknowledged as a crucial risk factor to an airline equity portfolio. In this regard, the...

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Main Author: Felix, Scott Barnabas
Format: Thesis
Language:English
Published: 2024
Subjects:
Gas industry
Online Access:https://ir.uitm.edu.my/id/eprint/107751/1/107751.pdf
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spelling my-uitm-ir.1077512024-12-11T04:52:38Z The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix 2024 Felix, Scott Barnabas Gas industry Airline equity has been a popular part of investors and fund managers’ investment portfolio due to significant important of the industry to trade and financial markets. In this context, oil price risk has been acknowledged as a crucial risk factor to an airline equity portfolio. In this regard, the industry needs alternative hedging mechanism as a risk management in portfolio equity investment to guard them against constant volatility in the global oil markets. The research investigates this issue in the context of hedgingstock returns research landscape with two components. First, this research examines the effect of oil price risk exposure to the Asia-Pacific airlines firm stock returns. Second, this research investigates the role of different futures hedging instruments, namely own commodity hedging (oil futures) and cross-commodity hedging (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 listed 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. In investment practice, the result suggests that pairing of gold futures-airline stock produce an effective hedge in all market conditions (i.e., higher, median, lower oil price performances). The present research contributes to the extension of body of knowledge related to oil price-stock returns-hedging research and draw new insights on ways to manage the effect of oil price risk on airline stock returns through cross-commodities hedging instruments and analysis in quantiles perspectives to account for asymmetries that would be valuable to inform theory, practice, as well as policy. 2024 Thesis https://ir.uitm.edu.my/id/eprint/107751/ https://ir.uitm.edu.my/id/eprint/107751/1/107751.pdf text en public masters Universiti Teknologi MARA (UiTM) Faculty of Business and Management Tuyon, Jasman
institution Universiti Teknologi MARA
collection UiTM Institutional Repository
language English
advisor Tuyon, Jasman
topic Gas industry
spellingShingle Gas industry
Felix, Scott Barnabas
The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix
description Airline equity has been a popular part of investors and fund managers’ investment portfolio due to significant important of the industry to trade and financial markets. In this context, oil price risk has been acknowledged as a crucial risk factor to an airline equity portfolio. In this regard, the industry needs alternative hedging mechanism as a risk management in portfolio equity investment to guard them against constant volatility in the global oil markets. The research investigates this issue in the context of hedgingstock returns research landscape with two components. First, this research examines the effect of oil price risk exposure to the Asia-Pacific airlines firm stock returns. Second, this research investigates the role of different futures hedging instruments, namely own commodity hedging (oil futures) and cross-commodity hedging (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 listed 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. In investment practice, the result suggests that pairing of gold futures-airline stock produce an effective hedge in all market conditions (i.e., higher, median, lower oil price performances). The present research contributes to the extension of body of knowledge related to oil price-stock returns-hedging research and draw new insights on ways to manage the effect of oil price risk on airline stock returns through cross-commodities hedging instruments and analysis in quantiles perspectives to account for asymmetries that would be valuable to inform theory, practice, as well as policy.
format Thesis
qualification_level Master's degree
author Felix, Scott Barnabas
author_facet Felix, Scott Barnabas
author_sort Felix, Scott Barnabas
title The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix
title_short The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix
title_full The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix
title_fullStr The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix
title_full_unstemmed The effect of oil price risk exposure and hedging to Asia-Pacific airline firms stock returns: evidence from static and quantile panel regressions / Scott Barnabas Felix
title_sort effect of oil price risk exposure and hedging to asia-pacific airline firms stock returns: evidence from static and quantile panel regressions / scott barnabas felix
granting_institution Universiti Teknologi MARA (UiTM)
granting_department Faculty of Business and Management
publishDate 2024
url https://ir.uitm.edu.my/id/eprint/107751/1/107751.pdf
_version_ 1818588232174010368

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