An examination of the flow characteristics of crude oil: evidence from risk-neutral moments
| dc.contributor.author | Chatrath, Arjun, author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Ramchander, Sanjay, author | |
| dc.contributor.author | Wang, Tianyang, author | |
| dc.contributor.author | Energy Economics, publisher | |
| dc.date.accessioned | 2020-05-12T16:29:26Z | |
| dc.date.available | 2020-05-12T16:29:26Z | |
| dc.date.issued | 2015-10-10 | |
| dc.description | Includes bibliographical references (pages 26-29). | |
| dc.description | Published as: Energy Economics, vol. 54, February 2016, pp. 213-223, https://doi.org/10.1016/j.eneco.2017.09.010. | |
| dc.description.abstract | This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black–Scholes model. We find a tenuous and time-varying association between returns and implied volatility and its innovations. Specifically, changes in implied volatility are found to be meaningfully associated with crude returns only over the period spanning the recent financial crisis. The results lead us to conclude that crude oil prices are determined primarily in a flow demand/supply environment. Finally, we document that oil risk is priced into the cross-section of stock returns in the oil and transportation sectors. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Chatrath, A., Miao, H., Ramchander, S., & Wang, T. (2016). An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments. Energy Economics, 54, 213–223. https://doi.org/10.1016/j.eneco.2015.12.005 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206714 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2020 Elsevier B.V. Author can archive pre-print and post-print. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | risk-neutral moments | |
| dc.subject | crude oil futures | |
| dc.subject | volatility | |
| dc.subject | Stocks -- Rate of return | |
| dc.title | An examination of the flow characteristics of crude oil: evidence from risk-neutral moments | |
| dc.type | Text |
Files
Original bundle
1 - 1 of 1