 Oil and energy sector stock markets: An analysis of implied volatility indexesAnupam Dutta Journal of Multinational Financial Management, 2018, vol. 44, issue C, 61-68 Abstract: The objective of our study is to assess the linkage between global oil and the US energy sector stock markets using their implied volatility indexes available from the Chicago Board of Options Exchange (CBOE). Our empirical analysis also includes the US VIX data in order to control for the effect of global equity market uncertainty. To investigate whether cointegration exists amongst the volatility series used, we consider applying the ARDL bound tests. The findings reveal that there exists a long-run relationship between oil and stock market implied volatility indexes. Besides, employing the Toda–Yamamoto version of the Granger causality test indicates short-run “lead-lag” associations between the implied volatilities of international oil and the US energy sector stock markets. The results carry important implications for investors and policymakers. Keywords: Implied volatilities; OVX; VXXLE; Long-run and short-run causal associations (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68 DOI: 10.1016/j.mulfin.2017.12.002 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.