Tail risk of international equity market and oil volatility

Juandan Zhong, Wenhan Cao and Yusui Tang

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: This paper employs the approach prompted by Kelly and Jiang (2014) to calculate a tail risk index for the global stock market. Our empirical results demonstrate that tail risk of the international stock market is statistically and economically informative about oil volatility. After controlling for EMV and VIX variables, tail risk of international stock market is still useful for predicting oil volatility. Our results prove that tail risk could provide incremental information for the connection between stock market and oil volatility.

Keywords: Tail risk; Global equity market; Oil volatility; Volatility predictability (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323007377

DOI: 10.1016/j.frl.2023.104365

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