Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach
Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach
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石油隐含波动率冲击对中国股票隐含波动率的影响：来自分位数回归方法的经验证据
DOI：
10.1016/j.eneco.2019.01.016
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发表时间：
2019
期刊：
影响因子：
12.8
通讯作者：
Wen Fenghua
中科院分区：
文献类型：
--
作者：
Xiao Jihong;Hu Chunyan;Ouyang Guangda;Wen Fenghua
本文研究了石油市场隐含波动率指数（OVX）变化对中国股市隐含波动率指数（VXFXI）变化的影响。我们的实证分析采用分位数回归方法，因为这种方法可以在不同的市场条件下进行更详细的调查。此外，我们还测试了 VXFXI 变化是否会对 OVX 变化产生滞后和不对称响应。我们的实证结果表明，OVX 变化对 VXFXI 变化的影响是积极的，并且在熊市中往往更强。此外，滞后效应的检验结果表明，在不同的市场条件下，两个变量之间的强联系是短暂的，这不能很好地支持渐进信息扩散假说。最后，我们发现 OVX 的变化可以不对称地影响 VXFXI 的变化。具体来说，OVX 的负变化在看涨市场条件下具有更强的影响，而 OVX 正变化在看跌时期发挥更重要的作用。
This paper investigates the impacts of changes in the implied volatility index of the oil market (OVX) on the changes in the implied volatility index of the Chinese stock market (VXFXI). A quantile regression approach is applied to our empirical analysis, as this approach can perform a more detailed investigation under different market conditions. Moreover, we test whether the VXFXI changes would respond with lags and asymmetry to the OVX changes. Our empirical results show that the impacts of the OVX changes on the VXFXI changes are positive and tend to be stronger in bearish markets. Furthermore, the results of testing lagged effects reveal that strong linkages between the two variables are transient in different market conditions, which don't support the gradual information diffusion hypothesis very well. Finally, we find that the OVX changes can asymmetrically affect the VXFXI changes. Specifically, the negative OVX changes have stronger effects under bullish market conditions, while the positive OVX changes play a more important role during bearish periods.