Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil
Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil
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DOI：
10.1016/j.eneco.2019.03.018
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发表时间：
2019-06-01
期刊：
影响因子：
12.8
通讯作者：
Clements, Adam
中科院分区：
文献类型：
--
作者：
Aromi, Daniel;Clements, Adam
原油是实体经济中最重要的大宗商品之一，因此，油价与更广泛的股市之间的关系吸引了许多研究关注。最近的研究考虑了石油和股票市场之间的方向性溢出或联系。最近，越来越多的研究关注新闻和媒体关注对资产回报的影响，无论是在石油和股票市场的背景下，尤其是在这两个市场中，也是在这两个市场中。本文考察了有关原油的新闻或信息流如何影响这些资产之间的溢出联系。使用基于高频数据的已实现波动率估计，实证分析揭示了这些联系行为方面的一些新结果。有关石油的新闻流量增加，降低了更广泛的股市对石油行业的影响，这意味着，石油行业更多地受到特定于石油的冲击，而不是更广泛的金融市场状况。它还增加了石油行业对更广泛的股市的影响。这些结果对对冲和投资组合配置具有潜在的影响。(C)2019爱思唯尔B.V.保留所有权利。
Crude oil is one of the most important commodities in the real economy and as such the relationship between oil prices and broader equity markets has attracted a lot of research attention. Recent work has considered directional spillovers or links between oil and equity markets. In recent times there has been a growing body of research into the impacts of news and media attention on asset returns, both in the context of and in particular with both the oil and equity markets but also within each of these. This paper considers how news or information flows about crude oil influence the spillover links between these assets. Using realized volatility estimates based on high frequency data, the empirical analysis reveals a number of novel results in terms of the behavior of these linkages. Increased news flow about oil reduces the impact of the broader equity market on the oil sector, implying that it is driven more by oil specific shocks and less by more general financial market conditions. It also increases the impact of the oil sector on the broader equity market. These results have potential implications for hedging and portfolio allocation. (C) 2019 Elsevier B.V. All rights reserved.