کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064071 1476710 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments
ترجمه فارسی عنوان
بررسی ویژگی های جریان نفت خام: شواهد از لحاظ ریسک خنثی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی


- Examines the information content of risk-neutral moments to explain crude oil futures returns with implied volatility and higher moments extracted from observed crude oil option prices.
- Find a tenuous and time-varying association between returns and implied volatility and its innovations.
- Changes in implied volatility are found to be meaningfully associated with crude returns over the period spanning the recent financial crisis.
- Results are consistent with prior evidence that crude oil prices are determined primarily in a flow demand/supply environment.
- Document that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors.

This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black-Scholes model. We find a tenuous and time-varying association between returns and implied volatility and its innovations. Specifically, changes in implied volatility are found to be meaningfully associated with crude returns only over the period spanning the recent financial crisis. The results lead us to conclude that crude oil prices are determined primarily in a flow demand/supply environment. Finally, we document that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 54, February 2016, Pages 213-223
نویسندگان
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