Crude oil moments and PNG stock returns
Date
2014-04-24
Authors
Chatrath, Arjun, author
Miao, Hong, author
Ramchander, Sanjay, author
Energy Economics, publisher
Journal Title
Journal ISSN
Volume Title
Abstract
We examine the risk-neutral moments of crude oil and their relationship to stock returns in the Petroleum and Natural Gas (PNG) industry. We find substantial overlaps in the association between returns and S&P 500- and crude oil higher moments. Net of these overlaps, PNG stocks share a significant negative relationship with crude volatility and positive relationships with crude skewness and kurtosis. Large cap stocks and those with a history of hedging exhibit negative loadings on crude volatility. However, after controlling for S&P 500- and crude oil returns and their risk-neutral moments, there is little evidence that PNG stocks systematically and significantly price either S&P 500- or crude oil volatility. We document a weak pricing of crude skewness, but find no evidence for the pricing of the implied higher moments of market returns.
Description
Includes bibliographical references (pages 27-29).
Published as: Journal of Futures Markets, vol. 44, no.10, pp. 980-1001, July 2014, https://doi.org/10.1016/j.eneco.2014.04.010.
Published as: Journal of Futures Markets, vol. 44, no.10, pp. 980-1001, July 2014, https://doi.org/10.1016/j.eneco.2014.04.010.
Rights Access
Subject
risk neutral moments
crude oil
petroleum and natural gas
stock returns