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Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis

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  • Kumar, Dilip

Abstract

The study examines the realized volatility transmission from crude oil to various equity sectors (Automobiles, Financials, Industrial, Telecom and Pharmaceuticals) using the Heterogeneous Autoregressive Distributed Lag (HAR-DL) framework. We also consider factors representing orthogonalized realized volatility components of S&P 500 in the HAR-DL framework. The full sample analysis provides evidence of significant short-term realized volatility transmission from crude oil to the given equity sectors. The findings based on the time-varying analysis support the evidence that volatility transmission from crude oil to equity sectors is structurally unstable and exhibits structural breaks. Incorporating structural breaks in the realized volatility partially explains the structural breaks in realized volatility transmission from crude oil to equity sectors. We also examine the influence of conditional heteroskedasticity in volatility series on the measured volatility transmission and find that conditional heteroskedasticity plays a significant role in explaining the measured volatility transmission from crude oil to equity sectors. The economic significance analysis indicates that the information from crude oil market can be used to earn substantial economic gain in returns by investing in portfolios representing the given equity sectors.

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  • Kumar, Dilip, 2017. "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 149-167.
    • Handle: RePEc:eee:reveco:v:49:y:2017:i:c:p:149-167
    DOI: 10.1016/j.iref.2017.01.027
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    More about this item

    Keywords

    Volatility transmission; Crude oil; Equity sectors; Contagion; Realized volatility; Structural breaks;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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