Asymmetric return-volatility relationship of uranium investments

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-07-12 DOI:10.1016/j.frl.2025.107886

Neda Todorova

引用次数: 0

Abstract

This study investigates the return-volatility relationship of the largest physical uranium investment trust, Sprott Physical Uranium Trust (SPUT), addressing a largely underexplored asset class. Analyses based on daily data yield mixed results. However, when accounting for the persistence of volatility using intraday data, a classical equity-like asymmetrical relationship emerges, consistent with SPUT’s nature as an investment vehicle. Notably, during periods of extreme volatility, positive shocks appear to have a more pronounced impact. These findings suggest that the return–volatility relationship is not uniform across the return distribution.

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铀投资的非对称收益-波动关系

本研究调查了最大的实物铀投资信托，Sprott实物铀信托（SPUT）的回报-波动关系，解决了一个很大程度上未被开发的资产类别。基于日常数据的分析产生了不同的结果。然而，当使用日内数据考虑波动性的持久性时，就会出现经典的类似股票的不对称关系，这与SPUT作为投资工具的性质一致。值得注意的是，在极端波动时期，正面冲击的影响似乎更为明显。这些发现表明，在整个收益分布中，收益与波动率的关系并不均匀。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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