原油价格创新对全球股市波动性的影响：跨越时间和空间的证据

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-11-01 DOI:10.1016/j.irfa.2024.103685

Libo Yin, Hong Cao, Yu Xin

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引用次数: 0

摘要

本研究通过涟漪扩散网络模型研究原油价格创新对全球股市波动性的影响，该模型包含原油价格变化的四个维度：已实现波动性、隐含波动性、方差风险溢价和已实现偏度波动性。此外，我们还评估了三种原油冲击的影响--石油特定冲击、总需求冲击和石油供应冲击。结果表明，虽然所有四个维度都表现出相似的时间扩散模式，但其空间影响却有所不同。全球股市对隐含波动率和方差风险溢价表现出更高的敏感性，其次是已实现波动率，最后是已实现偏度波动率。此外，我们还发现，已实现波动通过多种传播途径扩散，尽管与隐含波动和方差风险溢价相比速度较慢。在原油冲击中，石油特定冲击在全球市场上引起的波动传播速度最快，总需求冲击紧随其后，石油供应冲击的影响最小。

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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Impact of crude oil price innovations on global stock market volatility: Evidence across time and space

This study investigates the impact of crude oil price innovations on global stock market volatility through a ripple-spreading network model, incorporating four dimensions of crude oil price changes: realized volatility, implied volatility, variance risk premium, and realized skewness volatility. Additionally, we assess the effects of three types of crude oil shocks—oil-specific, aggregate demand, and oil supply shocks. The results indicate that while all four dimensions exhibit similar temporal diffusion patterns, their spatial impacts differ. Global stock markets demonstrate heightened sensitivity to implied volatility and variance risk premium, followed by realized volatility and, lastly, realized skewness volatility. Moreover, we find that realized volatility spreads through multiple transmission pathways, albeit at a slower pace compared to implied volatility and the variance risk premium. Among the crude oil shocks, oil-specific shock induces the most rapid volatility transmission across global markets, with aggregate demand shock following and oil supply shock exerting the smallest influence.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.