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Oil and energy sector stock markets: An analysis of implied volatility indexes

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  • Dutta, Anupam

Abstract

The objective of our study is to assess the linkage between global oil and the US energy sector stock markets using their implied volatility indexes available from the Chicago Board of Options Exchange (CBOE). Our empirical analysis also includes the US VIX data in order to control for the effect of global equity market uncertainty. To investigate whether cointegration exists amongst the volatility series used, we consider applying the ARDL bound tests. The findings reveal that there exists a long-run relationship between oil and stock market implied volatility indexes. Besides, employing the Toda–Yamamoto version of the Granger causality test indicates short-run “lead-lag” associations between the implied volatilities of international oil and the US energy sector stock markets. The results carry important implications for investors and policymakers.

Suggested Citation

  • Dutta, Anupam, 2018. "Oil and energy sector stock markets: An analysis of implied volatility indexes," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 61-68.
    • Handle: RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68
    DOI: 10.1016/j.mulfin.2017.12.002
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    More about this item

    Keywords

    Implied volatilities; OVX; VXXLE; Long-run and short-run causal associations;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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