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Oil and multinational technology stocks: Predicting fear with fear at the first and higher order moments

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  • Adekoya, Oluwasegun B.
  • Oliyide, Johnson A.
  • Akinseye, Ademola B.
  • Ogunbowale, Gideon O.

Abstract

This study examines the predictive content of oil market fear (OVX) on the market fear of the U.S. technology stocks. Findings show that OVX strongly predicts all the technology stock market fear, with asymmetries giving more representative results. Additionally, the nonparametric test proves the significant predictive role of OVX on the conditional mean of technology stocks across all the quantiles. However, the predictability evidence is heterogeneous at the second order moment (i.e. causality in variance).

Suggested Citation

  • Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Akinseye, Ademola B. & Ogunbowale, Gideon O., 2022. "Oil and multinational technology stocks: Predicting fear with fear at the first and higher order moments," Finance Research Letters, Elsevier, vol. 46(PA).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002774
    DOI: 10.1016/j.frl.2021.102210
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    Cited by:

    1. Adekoya, Oluwasegun B. & Asl, Mahdi Ghaemi & Oliyide, Johnson A. & Izadi, Parviz, 2023. "Multifractality and cross-correlation between the crude oil and the European and non-European stock markets during the Russia-Ukraine war," Resources Policy, Elsevier, vol. 80(C).
    2. Richard Mawulawoe Ahadzie & Peterson Owusu Junior & John Kingsley Woode, 2024. "The Impact of Sentiment on Realized Higher-Order Moments in the S&P 500: Evidence from the Fear and Greed Index," JRFM, MDPI, vol. 18(1), pages 1-34, December.

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    More about this item

    Keywords

    Oil market fear; Technology stocks; Predictability; Causality-in-mean; causality-in-variance; Second-order moment;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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