Oil and the short-term predictability of stock return volatility
By Yudong Wang, Yu Wei, Chongfeng Wu, Libo Yin. Journal of Empirical Finance, 2018
199 citations recorded by the source corpus.
The goal of this paper is to show that crude oil volatility is predictive of stock volatility in the short-term from both in-sample and out-of-sample perspectives. The revealed predictability is also of economic significance, as shown by examining the performance of portfolios constructed on the oil-based forecasts of stock volatility. Results from robustness tests suggest that oil volatility provides different information from traditional macro variables. Further analysis shows that simple linear regression is sufficient for capturing predictive relationships between oil and stock volatility. Oil volatility is found to predict return volatilities of a significant number of industry portfolios during recent periods.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/9b67eaa38cdae8e11d21c4f743ab1b9c6769e9a1
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In Economics and Econometrics
In Renewable Energy, Sustainability and the Environment
Citations in the corpus
- Uncertainty and crude oil market volatility: new evidence (2020, background): “…for preventing and defusing energy risks, improving energy security level, promoting the upgrading of energy consumption structure, and maintaining the healthy development of the capital market (Narayan and Narayan 2007; Wei, Wang, and Huang 2010; Dutta 2018; Ma et al. 2018; Wang et al. 2018).”