Economics at your fingertips  

Investor Happiness and Predictability of the Realized Volatility of Oil Price

Matteo Bonato (), Konstantinos Gkillas (), Rangan Gupta () and Christian Pierdzioch
Additional contact information
Matteo Bonato: Department of Economics and Econometrics, University of Johannesburg, P.O. Box 524 Auckland Park, Johannesburg, South Africa
Konstantinos Gkillas: Department of Business Administration, University of Patras, University Campus, Rio, P.O. Box 1391, 26500 Patras, Greece

Sustainability, 2020, vol. 12, issue 10, 1-11

Abstract: We use the the heterogeneous autoregressive realized volatility (HAR-RV) model to analyze both in sample and out-of-sample whether a measure of investor happiness predicts the daily realized volatility of oil-price returns, where we use high-frequency intraday data to measure realized volatility. Full-sample estimates reveal that realized volatility is significantly negatively linked to investor happiness at a short forecast horizon. Similarly, out-of-sample results indicate that investor happiness significantly improves the accuracy of forecasts of realized volatility at a short forecast horizon. Results for a medium and a long forecast horizon are insignificant. We argue that our results shed light on the role played by speculation in oil products and the potential function of oil-related products as a hedge against risks in traditional financial assets.

Keywords: investor happiness; oil market; realized volatility; forecasting (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
Working Paper: Investor Happiness and Predictability of the Realized Volatility of Oil Price (2020)
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:

Access Statistics for this article

Sustainability is currently edited by Prof. Dr. Marc A. Rosen

More articles in Sustainability from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2021-10-06
Handle: RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539