Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns
Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns
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DOI：
10.3390/jrfm16030173
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发表时间：
2023-03
影响因子：
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通讯作者：
N. Nakamura;Kazuhiko Ōhashi;Daisuke Yokouchi
中科院分区：
文献类型：
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作者：
N. Nakamura;Kazuhiko Ōhashi;Daisuke Yokouchi
本文研究股票波动率风险溢价(VRP)与石油收益之间的关系。利用2007年5月10日至2017年5月16日的VRP日数据，对库存和石油VRP进行了VAR分析，发现库存VRP对石油VRP的影响是有限的，如果有的话，也是短暂的。相反，石油的VRP在金融危机后对股票的VRP有显著的正向和长期的影响。这些结果表明，随着时间的推移，投资者的情绪(用VRP衡量)会从石油传导到股市，但反之亦然。这是出乎意料的，因为大宗商品的金融化意味着传统股票和债券市场的投资者对大宗商品的投资大幅增加；因此，影响的方向被认为是从股票到大宗商品市场。
This study investigates the relationship between the volatility risk premia (VRP) of stock and oil returns. Using daily data on VRP from 10 May 2007 to 16 May 2017, VAR analyses on the stock and oil VRP are conducted, and it is found that the effects of the stock VRP on the oil VRP are limited and, if any, short-lived. In contrast, the VRP of oil has significantly positive and long-lasting effects on the stock VRP after the financial crisis. These results suggest that investors’ sentiments (measured by VRP) are transmitted from the oil to the stock market over time, but not vice versa. This is unexpected because the financialization of commodities means a massive increase in investment in commodities by investors in the traditional stock and bond markets; hence, the direction of effects is thought to be from the stock to the commodity market.