Oil market volatility and stock market volatility

Milan Bašta and Peter Molnár

Finance Research Letters, 2018, vol. 26, issue C, 204-214

Abstract: This paper studies the comovement between volatility of the equity market and the oil market, both for implied and realized volatilities. The wavelet methodology enables us to study this relationship on various time scales. We find that there is a strong comovement between the volatilities of the two markets. However, this comovement is time-varying and depends on the time scale. It is strong at yearly horizon, but much weaker at horizons of a few days. Moreover, implied volatility of the stock market leads the implied volatility of the oil market, whereas no such relationship is observed for realized volatilities.

Keywords: Volatility; Oil market; Stock market; VIX; OVX; Wavelets (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317304750
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:204-214

DOI: 10.1016/j.frl.2018.02.001

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().