Oil and multinational technology stocks: Predicting fear with fear at the first and higher order moments

Oluwasegun Adekoya (), Johnson A. Oliyide, Ademola B. Akinseye and Gideon O. Ogunbowale

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: This study examines the predictive content of oil market fear (OVX) on the market fear of the U.S. technology stocks. Findings show that OVX strongly predicts all the technology stock market fear, with asymmetries giving more representative results. Additionally, the nonparametric test proves the significant predictive role of OVX on the conditional mean of technology stocks across all the quantiles. However, the predictability evidence is heterogeneous at the second order moment (i.e. causality in variance).

Keywords: Oil market fear; Technology stocks; Predictability; Causality-in-mean; causality-in-variance; Second-order moment (search for similar items in EconPapers)
JEL-codes: G15 G17 G29 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002774

DOI: 10.1016/j.frl.2021.102210

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