کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5064071 | 1476710 | 2016 | 11 صفحه PDF | دانلود رایگان |
- 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.
Journal: Energy Economics - Volume 54, February 2016, Pages 213-223