探索经济政策不确定性和隐含波动率对能源期货回报的不对称影响:来自分位数对分位数回归的新见解

IF 2.6 3区 经济学 Q1 Business, Management and Accounting
A. Bossman, Ș. C. Gherghina, Emmanuel Asafo-Adjei, A. Adam, S. Agyei
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引用次数: 5

摘要

本研究考察了主要不确定性和波动性指数(经济政策不确定性、芝加哥期权交易所原油波动率、芝加哥期权交易所波动率指数、芝加哥期权交易所VIX波动率和纳斯达克100波动率目标)对全球能源及其成分股(全球能源指数、布伦特原油、取暖油、天然气和石油)收益的非对称效应。对2012年4月至2022年3月的每日数据采用因果分位数检验和分位数对分位数回归技术。研究结果证明了全球不确定性和市场波动对能源市场因果效应的不对称性和异质性。对于所有不确定性和波动性指标,我们发现,在压力条件下,能源商品与不确定性和波动性之间存在强烈的负相关关系,这表明市场参与者有一些对冲收益。目前的研究是探索主要不确定性和波动性指数以及全球能源及其组成部分之间不对称关系的首批调查之一。讨论了我们研究结果的基本投资组合含义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
EXPLORING THE ASYMMETRIC EFFECTS OF ECONOMIC POLICY UNCERTAINTY AND IMPLIED VOLATILITIES ON ENERGY FUTURES RETURNS: NOVEL INSIGHTS FROM QUANTILE-ON-QUANTILE REGRESSION
This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility target) on the returns of global energy and its constituents (global energy index, Brent, heating oil, natural gas, and petroleum). The causalityin-quantiles test and the quantile-on-quantile regression technique were employed on daily data covering the period between April 2012 and March 2022. The findings evidenced asymmetries and heterogeneity in the causal effects of global uncertainty and market volatilities on energy markets. For all uncertainty and volatility measures, we found strong negative relationships with energy commodities at stressed conditions, signalling some hedging benefits for market participants. The current research is among the first investigations to explore the asymmetric relationships between major uncertainty and volatility indices, as well as global energy and its constituents. Essential portfolio implications of our findings are discussed.
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来源期刊
CiteScore
5.80
自引率
3.80%
发文量
48
审稿时长
15 weeks
期刊介绍: The Journal of Business Economics and Management is a peer-reviewed journal which publishes original research papers. The objective of the journal is to provide insights into business and strategic management issues through the publication of high quality research from around the world. We particularly focus on research undertaken in Western Europe but welcome perspectives from other regions of the world that enhance our knowledge in this area. The journal publishes in the following areas of research: Global Business Transition Issues Economic Growth and Development Economics of Organizations and Industries Finance and Investment Strategic Management Marketing Innovations Public Administration.
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