What drives volatility of the US oil and gas firms?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00119319" target="_blank" >RIV/00216224:14560/21:00119319 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S014098832100270X" target="_blank" >https://www.sciencedirect.com/science/article/pii/S014098832100270X</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.eneco.2021.105367" target="_blank" >10.1016/j.eneco.2021.105367</a>

Jazyk výsledku

angličtina

Název v původním jazyce

What drives volatility of the US oil and gas firms?

Popis výsledku v původním jazyce

We study how the day-ahead stock price volatility of 15 firms that are S&amp;P 500 constituents in the Oil &amp; Gas Exploration &amp; Production sub-industry is driven through six volatility factors represented by realized volatilities, namely, (i) firms’ own volatility, (ii) industry market volatility, (iii) local (U.S.) market volatility, (iv) world equity market volatility, (v) oil price volatility, and (vi) natural gas price volatility. Existing studies have reported results based on analysis of one or few volatility components, but given the high dependence among volatility factors, this might bias (overestimate) the true importance of each of the volatility factors on the price fluctuation of stocks in the Oil &amp; Gas Exploration &amp; Production sub-industry. To take into account this inter-relatedness of volatility factors, we study all volatility factors together. Using augmented heterogeneous autoregressive (HAR) models and dynamic model averaging, our analysis shows that market volatility is most influential, followed by a stock’s own volatility and industry level volatility. The role of the volatility of the oil market is of lesser importance, while the volatility of the world equity market does not appear to contain incremental information useful for predicting the volatility of firms in the Oil &amp; Gas Exploration &amp; Production sub-industry. The role of the natural gas market is specific. An in-sample analysis suggests a negative relationship between firm-level volatility and volatility on the natural gas market. However, in an out-of-sample framework, the volatility of the natural gas market appears to be unrelated to firm-level volatility. Dynamic model averaging further suggests that the market and industry factors are time-varying. These findings have implications for financial risk management, as we show that in an out-of-sample framework, HAR models augmented with volatility factors outperform the plain HAR model by up to a 3.88% increase in volatility forecast accuracy.

Název v anglickém jazyce

What drives volatility of the US oil and gas firms?

Popis výsledku anglicky

We study how the day-ahead stock price volatility of 15 firms that are S&amp;P 500 constituents in the Oil &amp; Gas Exploration &amp; Production sub-industry is driven through six volatility factors represented by realized volatilities, namely, (i) firms’ own volatility, (ii) industry market volatility, (iii) local (U.S.) market volatility, (iv) world equity market volatility, (v) oil price volatility, and (vi) natural gas price volatility. Existing studies have reported results based on analysis of one or few volatility components, but given the high dependence among volatility factors, this might bias (overestimate) the true importance of each of the volatility factors on the price fluctuation of stocks in the Oil &amp; Gas Exploration &amp; Production sub-industry. To take into account this inter-relatedness of volatility factors, we study all volatility factors together. Using augmented heterogeneous autoregressive (HAR) models and dynamic model averaging, our analysis shows that market volatility is most influential, followed by a stock’s own volatility and industry level volatility. The role of the volatility of the oil market is of lesser importance, while the volatility of the world equity market does not appear to contain incremental information useful for predicting the volatility of firms in the Oil &amp; Gas Exploration &amp; Production sub-industry. The role of the natural gas market is specific. An in-sample analysis suggests a negative relationship between firm-level volatility and volatility on the natural gas market. However, in an out-of-sample framework, the volatility of the natural gas market appears to be unrelated to firm-level volatility. Dynamic model averaging further suggests that the market and industry factors are time-varying. These findings have implications for financial risk management, as we show that in an out-of-sample framework, HAR models augmented with volatility factors outperform the plain HAR model by up to a 3.88% increase in volatility forecast accuracy.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA18-05829S" target="_blank" >GA18-05829S: Predikce volatility na rozvijících se finančních trzích</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

1873-6181

Svazek periodika

100

Číslo periodika v rámci svazku

August

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

10

Strana od-do

1-10

Kód UT WoS článku

000694892100034

EID výsledku v databázi Scopus

2-s2.0-85108118946