The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship
The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship
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DOI：
10.2139/ssrn.2522667
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发表时间：
2014-11
期刊：
影响因子：
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通讯作者：
Wensheng Kang;Ronald A. Ratti;K. H. Yoon
中科院分区：
文献类型：
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作者：
Wensheng Kang;Ronald A. Ratti;K. H. Yoon
本文考察了结构性油价冲击对美国股市收益率和股市波动性协方差的影响。我们从收益率和波动率的每日数据中构建了月度频率下的收益率和波动率的协方差。实现了每日波动率的测量-高频波动率(归一化平方收益)，从随机波动率模型恢复的条件波动率，以及从期权价格推导出的隐含波动率。对总需求和石油市场特定需求的积极冲击与对收益和波动率协方差的负面影响有关。石油供应中断会对收益和波动率的协方差产生积极影响。结构性油价冲击与股票收益率和波动率的协方差之间的溢出指数很大，具有很高的统计意义。
This paper examines the impact of structural oil price shocks on the covariance of U.S. stock market return and stock market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly frequency. The measures of daily volatility are realized-volatility at high frequency (normalized squared return), conditional-volatility recovered from a stochastic volatility model, and implied-volatility deduced from options prices. Positive shocks to aggregate demand and to oil-market specific demand are associated with negative effects on the covariance of return and volatility. Oil supply disruptions are associated with positive effects on the covariance of return and volatility. The spillover index between the structural oil price shocks and covariance of stock return and volatility is large and highly statistically significant.