Leverage vs. Feedback: Which Effect Drives the Oil Market ? - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Finance Research Letters Année : 2013

Leverage vs. Feedback: Which Effect Drives the Oil Market ?

Résumé

This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant effect as it might reflect the fear of oil consumers to face rising oil prices. However, this effect is amplified by an increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed effect. This lead-lag relation between the oil price and its volatility is determinant for any type of trading strategy based on futures and options on the OVX implied volatility index, and thus is of interest to traders, risk- and fund-managers.

Dates et versions

hal-01531283 , version 1 (01-06-2017)

Identifiants

Citer

Julien Chevallier, Sofiane Aboura. Leverage vs. Feedback: Which Effect Drives the Oil Market ?. Finance Research Letters, 2013, 10 (3), pp.131-141. ⟨10.1016/j.frl.2013.05.003⟩. ⟨hal-01531283⟩
68 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More