An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments
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- 作者：Arjun Chatratha ; 1 ; Chatrath@up.edu" class="auth_mail" title="E-mail the corresponding author ; Hong Miaob ; 2 ; Hong.Miao@colostate.edu" class="auth_mail" title="E-mail the corresponding author ; Sanjay Ramchanderb ; 3 ; Sanjay.Ramchander@colostate.edu" class="auth_mail" title="E-mail the corresponding author ; Tianyang Wangb ; Tianyang.Wang@colostate.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Risk-neutral moments ; Crude oil futures ; Returns ; Volatility
- 刊名：Energy Economics
- 出版年：2016
- 出版时间：February 2016
- 年：2016
- 卷：54
- 期：Complete
- 页码：213-223
- 全文大小：337 K
文摘
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Examines the information content of risk-neutral moments to explain crude oil futures returns with implied volatility and higher moments extracted from observed crude oil option prices.
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Find a tenuous and time-varying association between returns and implied volatility and its innovations.
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Changes in implied volatility are found to be meaningfully associated with crude returns over the period spanning the recent financial crisis.
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Results are consistent with prior evidence that crude oil prices are determined primarily in a flow demand/supply environment.
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Document that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors.