石油波动溢出指数与股票收益可预测性

IF 14.2 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-08-19 DOI:10.1016/j.eneco.2025.108850

Yaojie Zhang , Linxing Tian , Zhikai Zhang

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引用次数: 0

摘要

本文构建了六种石油商品的波动溢出指数，并用该指数预测股票收益。实证上，我们使用原油、汽油、取暖油、柴油、喷气燃料和丙烷的价格数据构建了1996年至2021年的月度石油波动溢出指数，该指数在短期和长期、样本内和样本外都能显著正向预测标准普尔500指数的月度回报，为投资者的资产配置提供了可观的经济价值。溢出指数的预测能力主要来自原油市场、投资者情绪和现金流渠道。此外，石油溢出指数的显著预测能力在横截面和各种波动性测量方法中都保持稳健。

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Petroleum volatility spillover index and stock return predictability

We construct a volatility spillover index across six petroleum commodities and use this index to predict stock returns. Empirically, we use the price data of crude oil, gasoline, heating oil, diesel fuel, jet fuel, and propane to construct the monthly petroleum volatility spillover index from 1996 to 2021, which significantly and positively predicts monthly S&P 500 index returns over both short- and long-term horizons, in-sample and out-of-sample, providing sizeable economic value for investor asset allocation. The spillover index's predictive power primarily stems from the crude oil market, investor sentiment and cash flows channel. Furthermore, the significant predictive power of the petroleum spillover index remains robust across cross-sections and various volatility measurement methods.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.