Leverage vs. feedback: Which Effect drives the oil market?

被引：38

作者：

Aboura, Sofiane ^{[1
]}

Chevallier, Julien ^{[2
]}

机构：

[1] Univ Paris 09, DRM Finance, F-75775 Paris 16, France

[2] IPAG Business Sch, IPAG Lab, F-75006 Paris, France

来源：

FINANCE RESEARCH LETTERS | 2013年 / 10卷 / 03期

关键词：

WTI; Crude oil price; Implied volatility; Leverage effect; Feedback effect; STRUCTURAL-CHANGE MODELS; VOLATILITY;

D O I：

10.1016/j.frl.2013.05.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article brings new insights on the role played by (implied) volatility on the WTI crude oil price. An increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant effect as it might reflect the fear of oil consumers to face rising oil prices. However, this effect is amplified by an increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed effect. This lead-lag relation between the oil price and its volatility is central to any type of trading strategy based on futures and options on the OVX implied volatility index. It is of interest to traders, risk- and fund-managers. (C) 2013 Elsevier Inc. All rights reserved.

引用

页码：131 / 141

页数：11

共 20 条

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