Does oil and gold price uncertainty matter for the stock market?

W.F.M. Bams; G. Blanchard; Iman Honarvar Gheysary; T. Lehnert

doi:10.1016/j.jempfin.2017.07.003

Does oil and gold price uncertainty matter for the stock market?

W.F.M. Bams, G. Blanchard, Iman Honarvar Gheysary, T. Lehnert

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44 Citations (Web of Science)

Abstract

We proxy uncertainty in the stock oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stocks' expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Gold price uncertainty is an asset-specific factor that is neither priced across nor within industries. (C) 2017 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	270-285
Number of pages	16
Journal	Journal of Empirical Finance
Volume	44
DOIs	https://doi.org/10.1016/j.jempfin.2017.07.003
Publication status	Published - Dec 2017

Keywords

AVERSION
BOND
CONSISTENT COVARIANCE-MATRIX
CROSS-SECTION
EXPECTED RETURNS
HETEROSKEDASTICITY
LONG-RUN
SHOCKS
VARIANCE RISK PREMIA
VOLATILITY RISK

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10.1016/j.jempfin.2017.07.003

Cite this

@article{47eec857cbdc4da39107e3b11c9d506d,

title = "Does oil and gold price uncertainty matter for the stock market?",

abstract = "We proxy uncertainty in the stock oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stocks' expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Gold price uncertainty is an asset-specific factor that is neither priced across nor within industries. (C) 2017 Elsevier B.V. All rights reserved.",

keywords = "AVERSION, BOND, CONSISTENT COVARIANCE-MATRIX, CROSS-SECTION, EXPECTED RETURNS, HETEROSKEDASTICITY, LONG-RUN, SHOCKS, VARIANCE RISK PREMIA, VOLATILITY RISK",

author = "W.F.M. Bams and G. Blanchard and {Honarvar Gheysary}, Iman and T. Lehnert",

year = "2017",

month = dec,

doi = "10.1016/j.jempfin.2017.07.003",

language = "English",

volume = "44",

pages = "270--285",

journal = "Journal of Empirical Finance",